CRISIS RISK OFFSETSM CLASS MANAGEMENT & THE …

EDUCATIONAL OVERVIEWCRISIS RISK OFFSETSMCLASS MANAGEMENT

amp THE SYSTEMATIC TREND FOLLOWING STRATEGY Rhode Island State Investment Commission

November 16 2016

1Rhode Island SIC Systematic Trend Following

Table of Contents

Section Tab

Brief Background amp Review of CROSM class management 1

Systematic Trend Following Strategy amp Benchmark Review 2

Due Diligence Plan Update Relating To STF and Platform 3Manager

Appendix

Rhode Island SIC Systematic Trend Following 2

Background amp Review Crisis Risk OffsetSM (CROSM) Class


Background

bull At its September 28 2016 meeting the RISIC approved a 8 allocation to a CROSM class

bull CROSM rationale produce appreciation during a growth crisis

bull Key features of the CROSM class In aggregate high-confidence of negative conditional crisis correlation Relatively high volatility must be gt= to the volatility of the Total Portfolio Responsive and complementary strategies

Duration first responder during a flight-to-quality a crisis Systematic trend following (STF) performs well when crisis is confirmed

Because of low cross-correlations individual components must exhibit higher isolated volatilities than the CRO portfolio volatility target


CROSM Implementation Considerations

bull All underlying strategiescomponent portfolios will have high liquiditymarketability

bull All-in costs will be reasonable (likely in the 40bp ndash 100bp range)

bull Given highly-volatile components there should be continual oversight

bull The systematic trend following strategy component will bull employ long and short positionsbull will use derivatives leverage to establish volatility levels

bull Managers are not seeking ldquoalphardquo they are seeking risk capturebull Duration managers capturing interest rate riskbull STF managers capturing trendmomentum risks across dozens of markets


CROSM Implementation Considerations (Platform Manager)

bull Act as fiduciary to the plan

bull Key role gathering and accounting for all long-short positions across all component managers

bull Reconciling manager position data with primary broker position data

bull Provide account administrative functions very similar to RISIC custodian function

bull Netting all positions and providing risk analyticscharacteristics of aggregate portfolio

bull Monitoring and managing risk levels per client directionguidelinesbull Re-setting manager account levels (ie rebalancing among managers)bull Directing managers to adjust collateral levels

bull Provide best-practices user-interfaces to asset-owners such as RISIC


CROSM Class Management Diagram

bull Within this construct the asset-owner (ie RISIC)bull Searches for and selects platform managerbull Searches for and selects component managers (funds)bull Determines level of guideline authority to assign to platform manager

PlatformManager

RIA and Fiduciary

BrokersTrade Execution Admin - NAV Calculations

SubscriptionsRedemptions

Trade Reconciliation

(vetted by platform manager)

PlatformManager

Client CustodianCash Safekeeping


Systematic Trend Following Benchmark Review


bull Momentum and Trend Following are somewhat interchangeable terms

bull That which has done well recently will continue to do well

bull That which has done poorly recently will continue to do poorly

bull Buy what is going up sell what is going down

Ex if SampP 500 has a positive 1-year return buygo long Ex if oil has a negative 1-year return sellshort

bull This results in a volatile yet low correlation return vs risky assets (eg equities) over a full market cycle

Often a positive correlation during strong (extended) bull markets and a negative correlation during major bear markets

Description ndash What is Systematic Trend Following


bull Trend horizon or lookback period = the length of time that the signal is ldquolooking backrdquo to see if the total return index is higher (lower) today than 30 days 3 months 1 year ago etc

bull Moving average (MA) crossover is a methodology to identify a trend - if short term MA is above longer term MA = Uptrend (buy market)- if short term MA is below longer term MA = Downtrend (sell market)

bull The trend horizon of a moving average is half of its moving average ndash this makes sense

Trend Following Terminology

0 1 2 3 4 5 6 7 8 9 10

Example The average lookback of an equally weighted moving average is total days in the moving average divided by two


bull Manage long and short positions according to systematic signals

bull Implemented in futures and forwards (currency) markets (see Appendix)

bull Investable universe includes liquid markets across the globe Equities = typically broad indices such as SampP 500 Nikkei 225 etc Fixed Income = typically sovereign bondsrates such as US 10-year Treasury Currencies = typically major currencies such as JPY GBP EUR AUD CAD CHF Commodities = energy metals and agriculture components

bull Strategy implementation volatility is customizable (range anywhere from roughly 5-30 (capable of offsetting equity asymp 18-20)

bull Systematic = rules-based implementation

bull Related terms = managed futures CTAs (commodity trading advisors)

How do systematic trend following managers invest


Basic Trend Following Example

bull Single Asset Example 21 day average price gt 252 day average price = long position 21 day average price lt 252 day average price = short position


bull The RISICrsquos Trend Following allocation and corresponding managers should be compiled based on assessing the following criteria

Trend Horizons Short asymp lt1 month Medium asymp 1-11 months Long asymp12+ months

Systematic implementation = quantitatively-oriented firmso Graduate (PhD Masters) backgrounds in mathematics physics computer scienceo Straight forward strategy design (ie humility)

Focus on global futures markets (ie utilize forwards on limited basis)

Strong focus on risk management and diversification

Target gt15 annual standard deviationo Required in order to meaningfully impact portfolio

RISIC Mandate ndash Trend Following Allocation


Why medium-term trends

o Trend Horizons Short asymp lt1 month | Medium asymp 1-11 months | Long asymp12+ months

o Medium to long-term trends provide most robust return patterns - whyo Short term trends are too short (risk getting whipsawed in choppy markets)o Long term trends are too long (longer time to turn lower hit ratios)

o The average of all trend horizons traded is the horizon of the strategy

Using a larger number of moving average signals reduces the dependency on individual data points and leads to an increased robustness of the strategy vs more concentrated strategies shorter drawdown periods

What length of trend is best How many


bull Benchmarking Trend Following strategies is imperfectbull Primarily due to different volatility targets markets traded and trend horizons (lookback)

bull Benchmark characteristicsbull Construction based on consistently applied tradingrisk-management rulesbull Inclusive of markets traded by managers (rates currency commodities equities)bull Broad scalable investible published available at low cost as a simple option bull Comparable to the strategies run by managers that will be sourced

bull Institutional investors track several major benchmarks bull MLM 3X IndexTM (Investable rules-based)bull Credit Suisse Managed Futures Liquid IndexTM 15 Target Volatility (Investable rules-based)bull Societe Generale Trend IndexTM (Uninvestable 10 largest trend managers)

Trend Following Benchmarks


Investable Trend Following Benchmark Comparisons

Source Mount Lucas Management Credit Suisse

Several distinctions between indices can produce different performance behaviors

Selected Investable STF Benchmark Characteristics

MLM Index 3X trade (with interest on cash)

Credit Suisse Managed Futures Liquid Indextrade

15 Target VolBasic trend signal Time-series momentum Moving Average Crossover

of look-back periods utilized 1 16Range of look-back periods only 12-months 1-month to 9-months

Average look-back period 12-months 5 monthsMarkets traded

Number of markets 22 31

Major market segmentsFixed Income (5)

Currencies (6) Commodities (11)

Fixed Income (4) Currencies (5)

Commodities (17) (in 4 aggregated contracts)

Equities (5)Contracts traded 22 18Trading Frequency Monthly Daily

Volatility Framework

Leveraged to set volatility at 3-times non-levered index volatility Volatility is not

bounded but results from construction

Leveraged to target volatility at an expected forward-looking standard deviation of 15

(within a range of variation)SampP 500

1995-2016 Volatility

Index Volatility 1995-2016 141 147 149Inclusion of return on cash Yes YesYear of Inception Index 1970 1995


The Credit Suisse MF Liquid Indextrade 15 Vol vs MLMtrade 3x Index

Several years where indices diverge particularly in more recent calendar years but both provided major offset in severe down markets-40

-30

-20

-10

0

10

20

30

40

Annu

al R

etur

ns -

Calendar Year Returns

MLM Index 3X Credit Suisse Index 15 Vol 7030 Portfolio


The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index

CSMF IndexTM

15 volhas produced a similar but more consistent return pattern versus MLM 3X IndexTM

$0

$2

$4

$6

$8

$10

$12

$14

$16

Growth of $1 ndash Index Comparisons

MLM Index 3X Credit Suisse Index 15 Vol

SampP 500 Index 7030 Portfolio

Returns to systematic trend following are episodic with long periods of little going on



Comparative Performance Statistics

MLM 3x and Credit Suisse 15 Vol exhibit similar statistical characteristics

Annlzd Ret

Annlzd Risk

Sharpe Ratio

Annlzd Ret

Annlzd Risk

Sharpe Ratio

Annlzd Ret

Annlzd Risk

Sharpe Ratio

Annlzd Ret

Annlzd Risk

Sharpe Ratio

Periods Ending 93020161 Year 85 124 07 24 162 01 125 105 12 154 125 12

3 Years 139 145 10 130 156 08 79 90 09 112 108 105 Years 33 129 03 46 138 03 120 92 13 164 111 15

10 Years 58 163 03 79 144 05 62 124 04 72 153 0420 Years 98 141 05 117 147 06 71 121 04 79 154 04

Statistical MeasuresLargest Drawdown - period

Largest Drawdown - -5095Largest Drawdown - of months 16

Recovery PeriodRecovery Duration 37

Crisis Period ReturnsLTCMRussian Debt (July 98 - Sept 98) -100

Tech Bubble (April 00 - Sept 02) -206Financial Crisis (Oct 07 - Feb 09) -388

SampP 500

Nov-07 - Feb-09

Mar-09 - Mar-12

113 127 -145

Jun-09 - Jul-11 Dec-12 - Nov-14 Mar-09 - Apr-1126 24

326 277 -309

121 143 -88

26

-2509 -277 -42163 21 16

MLM 3x Credit Suisse 15 Vol 7030

Mar-09 - May-09 Mar-11 - Nov-12 Nov-07 - Feb-09

Data

Growth of $1 - Selected Indices

SampP 500 Index3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411025910659101109735444795000011129616668719730211748013354685194120205672645138931241965009769575412450699222939992129761187301480581292940470271952513497005569168912137574977766538731422525270106010514357547551179966144953800076712951470846209378406315087940415803691151452745893837461447585345253298514781293960381431561348081035090416044412880716591725737049449876516915674558707691797290421862691918113092871532211736864475451223718405552846356619195264510146997352040123602015828222025174407362882207917646405505612193115334285272921198652821201449221801504468230752256164903450843522812083338791482244568345475183512570902447635128825968685623562435255220242308371642655821841460915226276701299414293224770902915189862391787177920535525862394754854749274296558769989482900960405551408930222205505034578292822949138280023045358671038112431632140516072873308856219998935533259977402088765131582661071435956314279060321859173056678140690402232501658669961042331614423409612513511465129484386633351895799842701327215449692256753592171206721594134840468533992741341262389290458933496915703059332534423638180916072365613461119509613463090703723995334485457227683547317680031981420853192366641381297733056956571503342300421621321822428140493269215101303270095962331173053020056052787829788316686907052949639118337536127649917095296064254158037939961412590124564646146627887871187545059281332844539954552772253850096712227187493507898459282097432637954442650023282200944263041310991265712443127696486875822525637361608997226743065681956152020960944423275221988055075325237232831515192618932191643052508121921342220045324092102208674464422621226000986067275229750234673192224185807204046941244953855362587424926504321696896254125711559699925143197901716707265663029029538712680008636849986528204410894209262872337205466271291226269262225212868287525963656228232554118060267286193401094776962917455530760156628208877526919953283217130370276322862758753782752629065589627156293024274600705612312709993712960313050798698663641131148654713355772305973235249293743001597437795571630970482363174709310138410384831563216755592511472831874831166196183321330172986423731596395909755043279073967514378332800576897046323336697921848180483376070062371705534182709381513519346407576872258013364310386583369433690204211245862338990834773555873470588166411665135601293411050863367618955762511183746037159219988637984816794490683385583875280874937802643132536975382260327356213913991944598580941941312634650714166406268449155123173936741272313143239957923913978401414523502683611964211144263762814340351184335375292400727611634612043766839549365352836444172640109791362874626977573238054662131138102385493727388428953529966061695843935003143467775993551068904805874132346686653876708269156779646908124983132286826009252479534890663612311955100993806420657318827379658224668999566581152461698228251029425993071592102619260450577352868252801406410007451229025371814087202301080181827526562954800904455345831320889587226666319253827562601433077606897703477631730127115322853364345378037681734175020350106773314444362241332432979989220961107431888864653504814304506768576317473316687723333249734427218568199134344306612900559553673062946423169376011453825339853889086466915490138906421015022561400580510770672323960539509989637438943985001728101381534221061930223608169128582674335451483884331213721163310728886371297675144528233750849114310024239188871546311134088183079711177142226843030336747419608139192456253943896900269896410638545256101574163464210351613742571421550845248436697642268570534286187358866019543110472455474422435027777548192424575622164251887746378506256857133481177002414892834904637185615003550194056957583948495214565943523245204209873500485850532877871689719521196102368607855451711230775638156179884233142952576012353042414745560823256271471758149528790830782586379848326737555907190592043554660460095709565786617116196907537966085999933902138963294399312582256240827772220609663931039698627927656507846665210166548665770485471663522057973709076671745763071973566611321800154363466747904894358454676089528674956696629733918186625367689583304685437636079014314129056203678626605700767272691026912224674745090999929526640841185621305963114554628144894630325057071283167306109594071613675686034214884936878483828307528568963678862611273715084386126416237160855042669932271622872136784661MLM Index 3X 34669347003473134759347903482034851348813491234943349733500435034350653509635125351563518635217352473527835309353393537035400354313546235490355213555135582356123564335674357043573535765357963582735855358863591635947359773600836039360693610036130361613619236220362513628136312363423637336404364343646536495365263655736586366173664736678367083673936770368003683136861368923692336951369823701237043370733710437135371653719637226372573728837316373473737737408374383746937500375303756137591376223765337681377123774237773378033783437865378953792637956379873801838047380783810838139381693820038231382613829238322383533838438412384433847338504385343856538596386263865738687387183874938777388083883838869388993893038961389913902239052390833911439142391733920339234392643929539326393563938739417394483947939508395393956939600396303966139692397223975339783398143984539873399043993439965399954002640057400874011840148401794021040238402694029940330403604039140422404524048340513405444057540603406344066440695407254075640787408174084840878409094094040969410004103041061410914112241153411834121441244412754130641334413654139541426414564148741518415484157941609416404167141699417304176041791418214185241883419134194441974420054203642064420954212542156421864221742248422784230942339423704240142430424614249142522425524258342614110148884646900895103340591859474421072408712997243110940677971075865114262418660692781160092612677171142959157168208311013103426890634110783733289700331137038224450235111679226409959909121850894347440231242433353496411812252167585248812126896699822459641328653866929275813351606121318145134081055440927281296797928471894713619392434367088143576578138179231509218792763344715752141625393705159741476392170381624588692915244715961946131990337158166634405606991596268567466747615854045132050956160762782421028591674471548787969116334608788312481167136836594916961724103293485745617540016237536971184317397396999281833207803473638519081906293617161199528158418133362015627484786143521495947913924032218083936204276442354434329164940125568449301383946244569562533616392392098972026799324768457163719559259133315331014382621527584284674826443486642972855246776974677741692522251779160873425363596849993599255718459950524222543332082009850425755097037285197263905469237608912593318215612296269111264944554352772336103456553228413595450075206282512675271448142755300091516830227662953436071924283321999650090952858120804002444629274590427040774314817804441657153177213234675698932724829006272378344643433993104513357024175828066833541251801571748340849392335919133573122662643302134183224213506169350375186287367593498251493609266634218858110597834333267389762584413368122399944071733998101148189912334494512142795573371605936289772133754249508694474336728934548908533149571666931522831544831262756059321576109118041663364182590872654433313630471808207345352304220459553602010422381642353506087423034153511404375039457388026730482139434188411671450271744330063747749886421923848037816734253178733277496646190270333054864454404709212399464278353529314546427285481394055114540367249408701545841124640575002469076108389668847569518484822714849610768837257251060571175497652219113860765338492514839465369294843558030123659847601745376581057473128124445944394704277905596145950343427344960032520567863524614445442972190172910554497265868140495541039832423297543007691886491815371693301544380252432959673518953528883825581519765406434421783125752892673579868639554995535038222757554936841166908551543447906696125637801167088788657228607789353605575252875755654567950807540961575797433537416528573133681365925715511663633801610754124923718312337523635162123404735230715880167218252724277206795183511682380451475985133054437969212552622290028893799520491768101300335192278665029281450635738492353615078156340236386551021488843485043513646773187677665083519832107603248375870074608462508314598385507925268571318619042852184159214284254521628972131248554191254093339198585232375325283725845509247309335557767157307764609593111186249949546161219094094592654773180599687912503152135379287295149766029792115163411843563236063692083157713540857190831538127088974503174200586004758054979499215967270571947536747268892087788668714567833349511720355827928642302366600225106747576396402285420570113652974281025352986455580729791857567329116090210022649469842354643846346355313413052864342027491780147668002375855000886775240605615865267375078330068803658099901409815496233192816727965167131078552540018674691151011573536987953442583287466625072738788234713691521499241957238694169177803971793642853250548699884060217257537360129583255957972237039097739091728638025868266767966835670147050482209445615305849787895714812564137769813515439796780750502764271417809031126182080138078000781649011678968109588554389780000442351743847907302670362232982521940949887469774792464073246567541607708880763873188239184893966696953342110148546843727482284168568164592314229058669907460484101416670028005841815364726036177634292644162067518287266517983125485561662362591028781749627913830961134966319400177769446392149927453023662647807316842243621755084290590616389060372158093465128667668604236454503711708577364536047495606406623250136877504976370927279553024363244932772003528636143498551355266355779990150757647521485590334586922192146698701170714589328632549758205028463395178161839371290312886033501192088568816590408878332148698689561611674479293629886653179825347924837850757708360031927344283254956769909807824201775560706285394650126758993839434877515595628800987149600684889065832057726926918696888484690189495394480839779789087039133391421863001611292771298553107031643975291118372363297819930836093202313829167348572263920392620931197582674Credit Suisse Index 15 Vol3466934700347313475934790348203485134881349123494334973350043503435065350963512535156351863521735247352783530935339353703540035431354623549035521355513558235612356433567435704357353576535796358273585535886359163594735977360083603936069361003613036161361923622036251362813631236342363733640436434364653649536526365573658636617366473667836708367393677036800368313686136892369233695136982370123704337073371043713537165371963722637257372883731637347373773740837438374693750037530375613759137622376533768137712377423777337803378343786537895379263795637987380183804738078381083813938169382003823138261382923832238353383843841238443384733850438534385653859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941730417604179141821418524188341913419444197442005420364206442095421254215642186422174224842278423094233942370424014243042461424914252242552425834261411018462101362837934799991085448004538323111929118787182351207652511407176612019125390204581117484546864171731138109225682759411830542971141973121282349239248191253561020678453113125047134317747138373303172500361331459748985528213803323105317908144737919185125151412776697511663614531058211188315137577152931888721415729437616425115318985323494783165982278309038621803231471549395617904050860922647176145960706541091733942085083835175478753683071291781330453112814217978309170999982178327747582607391891163979836075817798727619506824189722689263713871946922853862876201326619703110722104247709741140121084225371972662212855164715988862206722706401835322669441690595415238021656835493992409319476336215824715883382021251271921183062991962754716579502454626218979196217438257775040245115282671023723013445526347004714041855255795955077359592495813923487551426251544884444464257360170460037412686083540701638126872519870418432268999567132061262705837055829019925763194593147083265313757663309472813103200541033527419823254249551277010409615451362676529979786414226160056073535038263894797652999412548730262056363225800821930099183269664772640791342707517913393063628270088014648396313954310549318153084717264241954307157328397901933299419518611299136098849970540673374596302831080134120070774442652341385979728731753396520803376895345726418142448733666639557515736237492416134674511343543009042022533332642022114852532434638542450811315841698852292073039414153229354430189376200790483316853805490444573357411439819244935075011608249249360984302969547423856135399925536837040956933772726354401578979658723774972210786050840695295174214756416994515826385033964521149932298139713282327467319427164404503527264170307833354900940084206535718971410646261433761244217189272270611745540752200966779456751429607118284972013362131246351043335537376455539648008468581965376016632204691248114327415071871465643724717227545473136402847931445785433903947054319063502047815646472216278699063479607213661057945178227960527846352191618525558194503566656014366215072099607706301949091279752110903474678311307085914813726995314497449313263458100307501108068680081651265560301474542535683580046564785086503081795148954583264570743744560523185534007515884008061665413858330466678433295622111342960827866909373871666130868051874230552771652422845510701696432876208278608866200600401871004659472507041330465932874203479539697809804734914257004524104654454705380793625480346959025919015347688813432197833827357071618484301576055052128972793782966226803700147344207548094170970392760506973007753442576737939978018203711477063777852829118623665779019542537975168470879331063159292969340707904458913438647549674528465612369693250484829245469892748812978175263532882565884241246206833661953571965958747281414049210197798367540078193102939236528189951046893064884057110450275014424337105381618272956461035480834966252810098081586249346103444040903827289943765319962205110100628217884611012827363731696104489043958535041025208883265320710924810397674245105958862062210699973907685915891710079521394402054104113593977485571045082886122542310633415292259892107173767394075751033610606190315107818092913984761091714256162410911487792520462763107169501545471921136118889613764111388603444944021115574053252049810939037910685213114249390356399391083133347816519510328737942111374108260563452860941083193489388158411210933463883606105110348877333521050495950956824310526830835267162104791863989067431062821090868559510400777823450634102113172546186561060003146855022697107312284647369906353909062158296792111202812716948336196247350049135711396291183690494702807101941926996967356997999572105795140647295866841122666457979433169013834081008090404106009810012515188045546101181772608249919920326422666829806500597293140997560167322182769688378268213806910137938396615464102906867144372699764410705174233597071424363883869524017194325919595544845253305679622646217934274796239452751736962965375063369090821012347317827440610770514966463814109420569583346841208711039285353212664209478560323141025217416688541386837757319192514666752333325439139155359455648431403916156690523913166501323067976136168615008235161328539985817047137418197702979161294379107077740413338408429152194132004225939526151384230634300615614456614056202426138838285506816291402147282693308713284924859334293145344916066784191457470854495409713932867530051409140675983590670087030 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

Performance Stats

Performance stats (2)

Correlations

Annual Returns


MLM Index 3X1995199619971998199920002001200220032004200520062007200820092010201120122013201420150218999999999999970311015404060000000000000370000000000000007E-202110000000000000240000000000000001E-30151022600000000000001014599999999999999005-008-90000000000000011E-30379-96999999999999989E-299000000000000005E-2013400000000000001-017199999999999999-27999999999999997E-2025390999999999999998E-2Credit Suisse Index 15 Vol199519961997199819992000200120022003200420052006200720082009201020112012201320142015031303639999999999999901749999999999999902690000000000000252999999999999999E-297000000000000003E-2008013300000000000001031700573999999999999996E-2025011203439999999999999712E-271999999999999995E-2-72999999999999995E-2-01189999999999999901102310000000000000142000000000000003E-27030 Portfolio1995199619971998199920002001200220032004200520062007200820092010201120122013201420150265000000000000010145999999999999990218999999999999970196999999999999980182-55999999999999994E-2-88000000000000009E-2-0138000000000000010247011469000000000000006E-2015174999999999999997E-2-03070238999999999999990135000000000000012E-301350000000000000102280000000000000190999999999999998E-2-2E-3


The Credit Suisse MF Indextrade 15 Vol vs MLM 3x Index Correlations

bull Both MLM and Credit Suisse exhibit similar negative correlations with US equities

bull MLM and Credit Suisse indices are highly correlated with one another

Correlations ndash various periods ending 93016

SampP 500 7030 MLM SampP 500 7030 MLM 7030 Portfolio 099 7030 Portfolio 099MLM Index 3X -054 -056 MLM Index 3X -023 -026

Credit Suisse Index -059 -055 080 Credit Suisse Index -021 -020 082



1 Year Correlation 3 Year Correlation

10 Year Correlation5 Year Correlation

SampP 500 7030 MLM 7030 Portfolio 098MLM Index 3X -027 -026

Credit Suisse Index -018 -016 066

20 Year Correlation


Systematic Trend Following modeled with the MLM 3X IndexTM in the AL study Long history calculated back to pre-1970 PCA used data going back to 1970 Simple captures the beta captures big down markets reasonable for modeling However has only one lookback period (12 months) slow to respond to trends Investible but not inclusive of the full opportunity set (no equities)

Benchmark recommendation Credit Suisse Managed Futures Liquid IndexTM15 vol Diversified across 18 deep and liquid futures contracts in major markets Diversified across 16 lookback horizons from trading 30 days to 12 months Utilizes a moving average crossover method to determine the signal Equally risk weighted over 288 potentially different signals (long or short) Most comparable to the strategies that will be sourced

Recommended RISIC Mandate Benchmark


Due Diligence Plan Update Relating To STF and Platform Manager


Due Diligence Process Outline Platform Manager

bull Provide a short list of platform implementation platform managers

Draft DDQ prepared to be issued

bull Send DDQ to short list platform managers

bull Conduct a review of platform managers DDQ responses - rate proposals

PCA and Rhode Island investment staff

bull Conduct onsite due diligence at platform managers offices in NYC


bull Platform manager recommendation

PCA memo to SIC SIC interview recommended platform manager


Due Diligence Process Outline STF Managers

bull Provide a short list of systematic trend following managers

bull Draft DDQ prepared to be issued

bull Send a DDQ to short list systematic trend following managers

bull Conduct a review of STF managers DDQ responses - rate proposals

bull PCA and Rhode Island investment staff

bull Systematic trend following managers recommendation

bull PCA memo to SIC

bull SIC interview recommended systematic trend following managers


Other Implementation Crisis Risk OffsetSM Class Managers

Other bull Platform manager to conduct operational due diligence at recommended STF

Managerrsquos office

bull STF Managers hired contracting other administration 1Q 2017

bull Fund long-duration Fixed Income and systematic trend following accounts pari passu

bull Primary source of funds ndash Equity HF portfolio redemptions


Appendix


Model Output Focus Portfolio Comparison of Trend IndicesFocus Portfolio

Line Strategic Class Trend

MLM 3x Index

TrendCS MF Index

1 US Equity 200 2002 Non-US Equity 200 2003 Private Growth 150 1504 Income Class 60 605 Crisis Risk Offset 80 806 Inflation Protection 100 1007 IG Fixed Income 115 1158 Absolute Return 65 659 Cash 30 30

10 Total 1000 1000

Asset Only Statistics11 Median Scenario Comp Return (22-year period) 73 7312 Average Scenario Standard Deviation (22-year period) 118 12113 Sharpe Ratio (22-year period) 041 04014 Sortino Ratio (22-year period) 074 074

15 Best Year Worst Year 298 -208

306 -210

16 Average 2-year Loss of Worst 10 -160 -164AssetLiability Statistics

17 Percent of Scenarios lt50 [during first 5-years] 75 7918 Median Funded Ratio [end of 5-years] 600 59919 Average Funded Ratio of Worst 10 [end of 5-years] 477 47620 Median Funded Ratio [end of 22-years] 994 99121 Average Funded Ratio of Worst 10 [end of 22-years] 671 66522 Median Avg Ann Employer Cntrbs Rate [during 22-yrs] 206 20623 Average of Yrs w Employer Cntrbs Rate gt30 [during 22-yrs] 44 47

bull For modeling purposes both indices have same volatility assumptions

bull Modeling the Focus Portfolio with the CS MF Index results in the same long-term return (line 11) and slightly higher risk (line 12)

bull Portfolio results are similar regardless of the trend following index used in modeling the total portfolio


Comparing Modeling of MLM 3x and CS MF IndexMLM 3x Index Credits Suisse MF Index

1970 1607 9491971 648 -5801972 278 12791973 9190 63231974 1458 51501975 -620 -20551976 851 14651977 374 15591978 -178 4531979 2107 31971980 -568 4861981 2839 18891982 1278 13801983 -1005 -11941984 1281 0881985 239 5561986 456 2281987 643 10851988 188 -10381989 809 0551990 657 3771991 -604 -7281992 -557 -12351993 481 14301994 549 -7851995 384 14781996 409 21071997 077 0061998 992 10741999 -564 -12982000 3782 0122001 043 0492002 -972 11652003 1191 39572004 992 0172005 456 1152006 -1329 24292007 -461 4192008 4324 42422009 -811 -3752010 1370 5092011 1740 -16162012 -1910 -22872013 -127 10762014 2995 28432015 1359 086

-4000

-2000

000

2000

4000

6000

8000

10000

1970

1971

1972

1973

1974

1975

1976

1977

1978

1979

1980

1981

1982

1983

1984

1985

1986

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

Annual Modeled Returns

$0

$500

$1000

$1500

$2000

$2500

Growth of $100

MLM 3x Credit Suisse Managed Futures


The Credit Suisse Managed Futures Indextrade is a systematic trend following strategy that trades a total of 18 futures contracts providing liquid and diversified exposure to market trends across asset classes geographies and time horizons The strategy tracks 16 time horizon signals to identify trends across various horizons ranging from shorter-term moving average (60 trading days) to longer-term moving average (360 trading days) The average length of moving average signal utilized is a 210 trading days moving average

bull Shortest signal compares the 60 (trading) day MA (moving average) versus 5 day MA

bull Longest signal compares the 360 (trading) day MA (moving average) versus 5 day MA

bull For each of the 18 different futures contracts (markets) total return index

- If average price in most recent 5 days is gt average price over 60 days =gt Buy the market (go long)

- If average price in most recent 5 days is lt average price over 60 days=gt Sell the market (go short)

bull Signals are equally weighted resulting in a portfolio of long and short exposures When signals align (strong trends) the index is more long or more short

Recommended Benchmark Index


The Credit Suisse Managed Futures Indextrade Markets Traded


bull Diversifies and balances risk across the four major futures market typesbull Rebalancing incorporates recent trailing volatility of each instrument traded

The Credit Suisse Managed Futures Indextrade Risk Allocation


Instruments Forwards

bull Agreement to buysell an asset at a future time for a specified price Long position = agree to buy at the future date Short position = agree to sell at the future date

bull Over-the-counter instrument (ie customized have counterparty risk)

bull Different than an option in that both buyer and seller have obligations

bull Essentially a contract that states Asset type and amount Future date of trade Future price of trade Settlement options (ie cash payment or delivery of asset)

bull Currency forwards can be more liquid than currency futures


Instruments Futures

bull Futures = analogous to forwards but exchange tradedstandardized Exchanges (eg CME Group) provide numerous services

o Guarantee contracts will be honored backed by exchange with is backed by all of the exchange members (de minimis counterparty risk)

o Facilitate transactionso Set margin requirementso Organize daily settlementmarking to marketo Arrange settlementdelivery procedures

bull Extremely liquid instruments

bull Vast majority of futures contracts do not lead to delivery

bull Regulated by the US Government Commodity Futures Trading Commission (CFTC)


Futures Transaction Example

bull November crude oil contract (one contract = 1000 barrels of oil)

bull ldquoPricerdquo of contract = delivery price (ie futures are free) 1000 barrels $43 = $43000 of exposure (ie notional value)

o Longbuy position = agree to buy 1000 barrels in November $43barrelo Shortsell position = agree to sell 1000 barrels in November $43barrel

Initial margin = $3190 (ie money that must be deposited to trade)o Typically equal to roughly one-day maximum price fluctuationo Margin = embedded leverageo Exchanges require daily settlementmark to market

bull At contract expiration (or anytime while contract is traded) | longbuy ldquoSpotrdquo price = $50

o Gain = ($50-$43) x 1000 = $7000

ldquoSpotrdquo price = $40o Loss = ($40-$43) x 1000 = ($3000)

Gainslosses for shortsell positionare the opposite


Leverage in Trend Following Strategies

bull Futures contain embedded leverage

bull Trend Following strategies leverage asymp 0x-7x Averagefull-cycle leverage asymp 3x

bull Without leverage (ie 1x) strategy volatility may be asymp 6 (ie bond-like)

bull Leveragerisk oversight is key component of strategy selection

bull Leverage protections Futures have daily price limits and daily settlement

o Price limit = maximum change in contract priceo Exchanges will close out positions if failed settlement

Long and short positions partially offset leverage risks


CROSM Implementation Considerations (LongShort aspects)bull Long position ndash give up cash to buy a security (traditional)

bull Short position ndash sell an un-owned security receive cash liable for securityrsquos position

bull Because of the liability short positions require collateral as security collateral levels based on potential security movements not total value of positions

bull Minimum collateral requirements allow managers to apply leverage

bull Unlike typical leveraged situations collateral requirements re-set every day

bull Longshort portfolios contain many offsetting long and short positions itrsquos the net position that matters

bull Longshort portfolios utilize ldquoprimary brokersrdquo to effect these types of trades

bull In total across entire CROSM class hundreds of netted ls positions


DISCLOSURES This document is provided for informational purposes only It does not constitute an offer of securities of any of the issuers that may be described herein Informationcontained herein may have been provided by third parties including investment firms providing information on returns and assets under management and may not have beenindependently verified The past performance information contained in this report is not necessarily indicative of future results and there is no assurance that the investment in question willachieve comparable results or that the Firm will be able to implement its investment strategy or achieve its investment objectives The actual realized value of currently unrealizedinvestments (if any) will depend on a variety of factors including future operating results the value of the assets and market conditions at the time of disposition any related transactioncosts and the timing and manner of sale all of which may differ from the assumptions and circumstances on which any current unrealized valuations are based

Neither PCA nor PCArsquos officers employees or agents make any representation or warranty express or implied in relation to the accuracy or completeness of the information contained inthis document or any oral information provided in connection herewith or any data subsequently generated herefrom and accept no responsibility obligation or liability (whether direct orindirect in contract tort or otherwise) in relation to any of such information PCA and PCArsquos officers employees and agents expressly disclaim any and all liability that may be based on thisdocument and any errors therein or omissions therefrom Neither PCA nor any of PCArsquos officers employees or agents make any representation of warranty express or implied that anytransaction has been or may be effected on the terms or in the manner stated in this document or as to the achievement or reasonableness of future projections management targetsestimates prospects or returns if any Any views or terms contained herein are preliminary only and are based on financial economic market and other conditions prevailing as of thedate of this document and are therefore subject to change

The information contained in this report may include forward-looking statements Forward-looking statements include a number of risks uncertainties and other factors beyond the control ofthe Firm which may result in material differences in actual results performance or other expectations The opinions estimates and analyses reflect PCArsquos current judgment which maychange in the future

Any tables graphs or charts relating to past performance included in this report are intended only to illustrate investment performance for the historical periods shown Such tables graphsand charts are not intended to predict future performance and should not be used as the basis for an investment decision

All trademarks or product names mentioned herein are the property of their respective owners Indices are unmanaged and one cannot invest directly in an index The index dataprovided is on an ldquoas isrdquo basis In no event shall the index providers or its affiliates have any liability of any kind in connection with the index data or the portfolio described herein Copyingor redistributing the index data is strictly prohibited

The Russell indices are either registered trademarks or trade names of Frank Russell Company in the US andor other countries

The MSCI indices are trademarks and service marks of MSCI or its subsidiaries

Standard and Poorrsquos (SampP) is a division of The McGraw-Hill Companies Inc SampP indices including the SampP 500 are a registered trademark of The McGraw-Hill Companies Inc

CBOE not SampP calculates and disseminates the BXM Index The CBOE has a business relationship with Standard amp Poors on the BXM CBOE and Chicago Board Options Exchange areregistered trademarks of the CBOE and SPX and CBOE SampP 500 BuyWrite Index BXM are servicemarks of the CBOE The methodology of the CBOE SampP 500 BuyWrite Index is owned by CBOEand may be covered by one or more patents or pending patent applications

The Barclays Capital indices (formerly known as the Lehman indices) are trademarks of Barclays Capital Inc

The Citigroup indices are trademarks of Citicorp or its affiliates

The Merrill Lynch indices are trademarks of Merrill Lynch amp Co or its affiliates

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MLM Index 3X Credit Suisse Index 15x 7030 Portfolio MLM Index 3X Credit Suisse Index 15 Vol 7030 Portfolio

1995 0219 0228 0265 1995 0219 0313 0265

1996 0311 0264 0146 1996 0311 0364 0146

1997 0154 014 0219 1997 0154 0175 0219

1998 0406 0209 0197 1998 0406 0269 0197

1999 007 0066 0182 1999 007 0053 0182

2000 0211 0087 -0056 2000 0211 0097 -0056

2001 0004 007 -0088 2001 0004 008 -0088

2002 0151 0112 -0138 2002 0151 0133 -0138

2003 0226 0213 0247 2003 0226 0317 0247

2004 0146 0042 0114 2004 0146 005 0114

2005 005 0063 0069 2005 005 0074 0069

2006 -008 0188 0151 2006 -008 025 0151

2007 -0009 0095 0075 2007 -0009 0112 0075

2008 0379 023 -0307 2008 0379 0344 -0307

2009 -0097 0009 0239 2009 -0097 0012 0239

2010 0099 005 0135 2010 0099 0072 0135

2011 0134 -0048 0002 2011 0134 -0073 0002

2012 -0172 -008 0135 2012 -0172 -0119 0135

2013 -0028 0075 0228 2013 -0028 011 0228

2014 0253 0158 0091 2014 0253 0231 0091

2015 0091 0036 -0002 2015 0091 0042 -0002

Return 110 101 80 Return 110 131 80

StDev 153 93 146 StDev 153 134 146

Corr to 7030 -023 005 100 Corr to 7030 -023 004 100


SampP 500 7030 MLM SampP 500 7030 MLM

7030 Portfolio 099 7030 Portfolio 099

MLM Index 3X -054 -056 MLM Index 3X -023 -026







20 Year Correlation

SampP 500 7030 MLM

7030 Portfolio 098

MLM Index 3X -027 -026


Correlation to date Correlation to date

SampP 500 Index 7030 Portfolio MLM Index 3X Credit Suisse MF Index 15 Vol SampP 500 Index 7030 Portfolio MLM Index 3X Credit Suisse MF Index 15 Vol

5 5 5 5 5 5 5 5

SampP 500 Index 1 099 -054 -059 SampP 500 Index 1 099 -023 -021

7030 Portfolio 099 1 -056 -055 7030 Portfolio 099 1 -026 -02

MLM Index 3X -054 -056 1 08 MLM Index 3X -023 -026 1 082

Credit Suisse MF Index 15 Vol -059 -055 08 1 Credit Suisse MF Index 15 Vol -021 -02 082 1



5 5 5 5 10 Years 10 Years 10 Years 10 Years





Correlation to date

SampP 500 Index 7030 Portfolio MLM Index 3X Credit Suisse MF Index 15 Vol

5 5 5 5

SampP 500 Index 1 098 -027 -018

7030 Portfolio 098 1 -026 -016

MLM Index 3X -027 -026 1 066

Credit Suisse MF Index 15 Vol -018 -016 066 1

MLM 3x Credit Suisse 15 Vol 7030 SampP 500

Annlzd Ret Annlzd Risk Sharpe Ratio Annlzd Ret Annlzd Risk Sharpe Ratio Annlzd Ret Annlzd Risk Sharpe Ratio Annlzd Ret Annlzd Risk Sharpe Ratio

Periods Ending 9302016

1 Year 85 124 07 24 162 01 125 105 12 154 125 12

3 Years 139 145 10 130 156 08 79 90 09 112 108 10

5 Years 33 129 03 46 138 03 120 92 13 164 111 15 SampP 500 Index 7030 Portfolio MLM Index 3X Credit Suisse MF Index 15 Vol

10 Years 58 163 03 79 144 05 62 124 04 72 153 04 Annualized Return to date Annualized StdDev to date MPT Statistics to date Annualized Return to date Annualized StdDev to date MPT Statistics to date Annualized Return to date Annualized StdDev to date MPT Statistics to date Annualized Return to date Annualized StdDev to date MPT Statistics to date

20 Years 98 141 05 117 147 06 71 121 04 79 154 04 Total Total Sharpe Ratio(g) Total Total Sharpe Ratio(g) Total Total Sharpe Ratio(g) Total Total Sharpe Ratio(g)

1 Year 1543 1246 122 1252 1052 116 846 1244 066 24 162 01

Statistical Measures 3 Years 1116 1083 102 792 897 087 1392 1446 095 130 156 08

Largest Drawdown - period Mar-09 - May-09 Mar-11 - Nov-12 Nov-07 - Feb-09 Nov-07 - Feb-09 5 Years 1637 1112 146 12 915 13 329 1288 025 46 138 03

Largest Drawdown - -2509 -277 -4216 -5095 10 Years 724 1525 041 621 1239 043 58 1627 03 79 144 05

Largest Drawdown - of months 3 21 16 16 20 Years 791 1535 036 711 1212 039 977 1408 053 117 147 06

Recovery Period Jun-09 - Jul-11 Dec-12 - Nov-14 Mar-09 - Apr-11 Mar-09 - Mar-12

Recovery Duration 26 24 26 37 00237 01617

01298 0156

Crisis Period Returns 00464 01383

LTCMRussian Debt (July 98 - Sept 98) 121 143 -88 -100 00787 01439

Tech Bubble (April 00 - Sept 02) 113 127 -145 -206 01172 01466

Financial Crisis (Oct 07 - Feb 09) 326 277 -309 -388

MLM Credit Suisse 7030

Annlzd Ret Annlzd Risk Sharpe Ratio Annlzd Ret Annlzd Risk Sharpe Ratio Annlzd Ret Annlzd Risk Sharpe Ratio


1 Year 85 124 07 14 90 01 125 105 12

3 Years 139 145 10 90 103 09 79 90 09

5 Years 33 129 03 35 92 04 120 92 13

10 Years 58 163 03 58 97 05 62 124 04

20 Years 98 141 05 91 100 07 71 121 04

Statistical Measures

Largest Drawdown - period Mar-09 - May-09 Mar-11 - Nov-12 Nov-07 - Feb-09

Largest Drawdown - -2509 -1486 -4216

Largest Drawdown - of months 3 21 16

Recovery Period Jun-09 - Jul-11 Dec-12 - Nov-14 Mar-09 - Apr-11

Recovery Duration 26 24 26

Full - history semi-deviation 83 54 83

Full - history skewness 03 02 -08

Full- history kurtosis 47 -01 15

Crisis Period Returns

LTCMRussian Debt (July 98 - Sept 98) 121 104 -88

Tech Bubble (April 00 - Sept 02) 113 157 -145

Financial Crisis (Oct 07 - Feb 09) 326 183 -309

SampP 500 Index MLM Index 3X woInt Credit Suisse Index 7030 Portfolio

Return Return Return Return

Total Total Total Total

Jan-73 -149 NA NA NA

Feb-73 -352 NA NA NA

Mar-73 009 NA NA NA

Apr-73 -384 NA NA NA

May-73 -164 NA NA NA

Jun-73 -04 NA NA NA

Jul-73 406 NA NA NA

Aug-73 -342 NA NA NA

Sep-73 427 NA NA NA

Oct-73 013 NA NA NA

Nov-73 -1112 NA NA NA

Dec-73 196 NA NA NA



Mar-74 -202 NA NA NA



Jun-74 -112 NA NA NA

Jul-74 -742 NA NA NA


Sep-74 -115 NA NA NA

Oct-74 168 NA NA NA

Nov-74 -49 NA NA NA

Dec-74 -158 NA NA NA

Jan-75 1273 NA NA NA

Feb-75 639 NA NA NA

Mar-75 255 NA NA NA

Apr-75 509 NA NA NA

May-75 476 NA NA NA

Jun-75 477 NA NA NA




Oct-75 654 NA NA NA

Nov-75 281 NA NA NA




Mar-76 338 NA NA NA

Apr-76 -08 NA NA NA


Jun-76 441 NA NA NA

Jul-76 -05 NA NA NA

Aug-76 -02 NA NA NA

Sep-76 258 NA NA NA

Oct-76 -191 NA NA NA


Dec-76 558 NA NA NA




Apr-77 038 NA NA NA


Jun-77 493 NA NA NA



Sep-77 015 NA NA NA


Nov-77 312 NA NA NA

Dec-77 071 NA NA NA



Mar-78 297 NA NA NA

Apr-78 901 NA NA NA

May-78 086 NA NA NA


Jul-78 584 NA NA NA

Aug-78 302 NA NA NA



Nov-78 213 NA NA NA

Dec-78 194 NA NA NA

Jan-79 443 NA NA NA


Mar-79 598 NA NA NA

Apr-79 061 NA NA NA


Jun-79 434 NA NA NA

Jul-79 133 NA NA NA

Aug-79 576 NA NA NA

Sep-79 044 NA NA NA


Nov-79 472 NA NA NA

Dec-79 22 NA NA NA

Jan-80 621 NA NA NA



Apr-80 462 NA NA NA

May-80 515 NA NA NA

Jun-80 316 NA NA NA

Jul-80 696 NA NA NA

Aug-80 101 NA NA NA

Sep-80 294 NA NA NA

Oct-80 202 NA NA NA

Nov-80 1065 NA NA NA


Jan-81 -42 NA NA NA

Feb-81 172 NA NA NA

Mar-81 399 NA NA NA


May-81 025 NA NA NA


Jul-81 021 NA NA NA



Oct-81 54 NA NA NA

Nov-81 412 NA NA NA


Jan-82 -13 NA NA NA



Apr-82 452 NA NA NA


Jun-82 -15 NA NA NA


Aug-82 1214 NA NA NA

Sep-82 124 NA NA NA

Oct-82 1151 NA NA NA

Nov-82 404 NA NA NA

Dec-82 193 NA NA NA

Jan-83 372 NA NA NA

Feb-83 229 NA NA NA

Mar-83 369 NA NA NA

Apr-83 788 NA NA NA


Jun-83 389 NA NA NA


Aug-83 15 NA NA NA

Sep-83 138 NA NA NA


Nov-83 211 NA NA NA




Mar-84 173 NA NA NA

Apr-84 092 NA NA NA


Jun-84 214 NA NA NA



Sep-84 002 NA NA NA

Oct-84 038 NA NA NA


Dec-84 264 NA NA NA

Jan-85 779 NA NA NA

Feb-85 123 NA NA NA

Mar-85 006 NA NA NA


May-85 578 NA NA NA

Jun-85 157 NA NA NA




Oct-85 462 NA NA NA

Nov-85 686 NA NA NA

Dec-85 484 NA NA NA

Jan-86 056 NA NA NA

Feb-86 747 NA NA NA

Mar-86 558 NA NA NA


May-86 532 NA NA NA

Jun-86 169 NA NA NA


Aug-86 741 NA NA NA


Oct-86 577 NA NA NA

Nov-86 243 NA NA NA



Feb-87 395 NA NA NA

Mar-87 289 NA NA NA


May-87 087 NA NA NA

Jun-87 505 NA NA NA

Jul-87 507 NA NA NA

Aug-87 373 NA NA NA




Dec-87 761 NA NA NA

Jan-88 421 NA NA 349

Feb-88 466 NA NA 436

Mar-88 -309 NA NA 036

Apr-88 11 NA NA 066

May-88 086 NA NA -09

Jun-88 458 NA NA 252

Jul-88 -038 NA NA 02

Aug-88 -34 NA NA -286

Sep-88 425 NA NA 359

Oct-88 282 NA NA 344

Nov-88 -143 NA NA 034

Dec-88 174 NA NA 116

Jan-89 731 NA NA 398

Feb-89 -248 NA NA -089

Mar-89 232 NA NA 07

Apr-89 52 NA NA 323

May-89 405 NA NA 14

Jun-89 -057 NA NA 004

Jul-89 903 NA NA 742

Aug-89 195 NA NA -04

Sep-89 -041 NA NA 113

Oct-89 -232 NA NA -171

Nov-89 204 NA NA 23

Dec-89 24 NA NA 194

Jan-90 -671 NA NA -478

Feb-90 13 NA NA -08

Mar-90 264 NA NA -117

Apr-90 -249 NA NA -177

May-90 975 NA NA 786

Jun-90 -067 NA NA -001

Jul-90 -032 NA NA 019

Aug-90 -904 NA NA -722

Sep-90 -487 NA NA -53

Oct-90 -043 NA NA 295

Nov-90 646 NA NA 26

Dec-90 279 NA NA 235

Jan-91 435 NA NA 348

Feb-91 715 NA NA 62

Mar-91 242 NA NA 049

Apr-91 024 NA NA 058

May-91 431 NA NA 257

Jun-91 -458 NA NA -379

Jul-91 466 NA NA 377

Aug-91 237 NA NA 166

Sep-91 -167 NA NA 095

Oct-91 134 NA NA 152

Nov-91 -403 NA NA -26

Dec-91 1144 NA NA 76

Jan-92 -186 -50186134107 NA -101

Feb-92 13 -11806985257 NA 03

Mar-92 -194 -34682100213 NA -245

Apr-92 294 04856690806 NA 135

May-92 049 36691977834 NA 196

Jun-92 -149 3995994645 NA -144

Jul-92 409 58382478439 NA 241

Aug-92 -205 21392596519 NA 003

Sep-92 118 -10417441781 NA 069

Oct-92 035 -11426309261 NA -063

Nov-92 34 -24243841368 NA 231

Dec-92 123 03309287484 NA 157

Jan-93 084 12125566229 NA 109

Feb-93 136 59842293696 NA 136

Mar-93 211 -06484088187 NA 282

Apr-93 -242 09183032136 NA 027

May-93 268 -00124707027 NA 196

Jun-93 029 75565231659 NA 064

Jul-93 -04 34694235802 NA 068

Aug-93 379 26998187389 NA 356

Sep-93 -077 -35544940483 NA -032

Oct-93 207 12906000348 NA 154

Nov-93 -095 39231376084 NA -251

Dec-93 121 23140907663 NA 262

Jan-94 34 -16392143954 NA 357

Feb-94 -271 -5375365439 NA -19

Mar-94 -436 -17526970615 NA -389

Apr-94 128 -31042584129 NA 106

May-94 164 21687630069 NA 058

Jun-94 -245 -02802505425 NA -136

Jul-94 328 -09170406074 NA 249

Aug-94 41 03148132864 NA 3

Sep-94 -245 49091708791 NA -203

Oct-94 225 33710507687 NA 14

Nov-94 -364 -02736669026 NA -3 SampP 500 Index MLM Index 3X Credit Suisse Index 15 Vol 7030 Portfolio

Dec-94 148 11635880505 NA 095 Dec-94 100 100 100 100

Jan-95 259 1488846469 18462 078 Jan-95 103 101 102 101

Feb-95 39 18245801927 -04746 274 Feb-95 107 103 101 104

Mar-95 295 37741988604 70854 257 Mar-95 110 107 109 106

Apr-95 294 20196669281 31179 254 Apr-95 113 109 112 109

May-95 4 4438151788 78944 291 May-95 117 114 121 112

Jun-95 232 15287989065 -04753 152 Jun-95 120 116 120 114

Jul-95 332 -14769041128 -2252 32 Jul-95 124 114 117 117

Aug-95 025 -36439459991 -31269 016 Aug-95 125 110 114 118

Sep-95 422 05926567612 39491 274 Sep-95 130 111 118 121

Oct-95 -036 2635846499 25163 -064 Oct-95 129 114 121 120

Nov-95 439 27162162082 33589 332 Nov-95 135 117 125 124

Dec-95 193 4331305919 47021 198 Dec-95 138 122 131 126

Jan-96 34 19634168588 54269 207 Jan-96 142 124 138 129

Feb-96 093 -13857157749 -37777 042 Feb-96 144 123 133 130

Mar-96 096 3570816298 36706 074 Mar-96 145 127 138 131

Apr-96 147 47035792726 48573 151 Apr-96 147 133 145 133

May-96 258 04897246276 -23907 119 May-96 151 134 141 134

Jun-96 038 04231657395 28546 021 Jun-96 151 134 145 134

Jul-96 -442 -32825387444 -5322 -362 Jul-96 145 130 138 130

Aug-96 211 50232432929 29044 183 Aug-96 148 136 142 132

Sep-96 563 54206924649 82056 405 Sep-96 156 144 153 137

Oct-96 276 51159466491 83507 144 Oct-96 160 151 166 139

Nov-96 756 43728165918 864 527 Nov-96 173 158 180 147

Dec-96 -198 14093703517 -07113 -113 Dec-96 169 160 179 145

Jan-97 625 17011191838 -16167 314 Jan-97 180 162 176 150

Feb-97 078 -17477703643 -15622 041 Feb-97 181 160 173 150

Mar-97 -411 -0910181567 12022 -309 Mar-97 174 158 175 145

Apr-97 597 09232176853 15126 349 Apr-97 184 160 178 151

May-97 609 -06805906276 09263 543 May-97 195 159 180 159

Jun-97 448 14017438969 -08095 375 Jun-97 204 161 178 165

Jul-97 796 41579104051 60499 584 Jul-97 220 167 189 174

Aug-97 -56 -24491709033 -58848 -401 Aug-97 208 163 178 167

Sep-97 548 23206853381 65934 476 Sep-97 219 167 190 175

Oct-97 -334 3155194786 26194 -317 Oct-97 212 172 195 170

Nov-97 463 1734137994 34076 24 Nov-97 222 175 201 174

Dec-97 172 50839377232 45191 168 Dec-97 226 184 210 177

Jan-98 111 -0540706989 01984 101 Jan-98 228 183 211 178

Feb-98 721 40902523842 09547 561 Feb-98 245 191 213 189

Mar-98 512 4564059454 36725 385 Mar-98 257 200 221 196

Apr-98 101 10197007162 2729 086 Apr-98 260 202 227 197

May-98 -172 66464318242 49967 -174 May-98 255 215 238 194

Jun-98 406 14535097859 12227 237 Jun-98 266 218 241 199

Jul-98 -106 79600070571 25845 -106 143 Jul-98 263 235 247 197

Aug-98 -1446 85969949752 100188 -1191 Aug-98 225 256 272 173

Sep-98 641 -43471273323 13057 462 Sep-98 239 245 275 181

Oct-98 813 -21914686666 -48215 62 Oct-98 259 239 262 192

Nov-98 606 35427775078 -16838 49 Nov-98 274 248 258 202

Dec-98 576 46223079694 36184 48 Dec-98 290 259 267 211

Jan-99 418 11652083769 -13599 243 Jan-99 302 262 263 217

Feb-99 -311 08705260303 -29127 -306 Feb-99 293 264 256 210

Mar-99 4 -66775958823 -24295 326 Mar-99 305 247 250 217

Apr-99 387 22077437514 51823 383 Apr-99 316 252 263 225

May-99 -236 05593377297 -19638 -207 May-99 309 254 257 220

Jun-99 555 0821055256 43706 406 Jun-99 326 256 269 229

Jul-99 -312 -05417097185 00435 -19 Jul-99 316 254 269 225

Aug-99 -049 12651757883 01021 -075 Aug-99 314 258 269 223

Sep-99 -274 24672781685 05889 -147 Sep-99 306 264 271 220

Oct-99 633 -17330628613 -47866 486 Oct-99 325 259 258 231

Nov-99 203 37710155755 29817 248 Nov-99 332 269 265 236

Dec-99 589 30182108515 60293 568 Dec-99 351 277 281 250

Jan-00 -502 24897212667 -25282 -359 Jan-00 334 284 274 241

Feb-00 -189 -05713037029 10256 122 Feb-00 327 283 277 244

Mar-00 978 -24716293218 -3378 621 Mar-00 359 276 268 259

Apr-00 -301 03990582414 -22613 -331 1573 Apr-00 348 277 262 250

May-00 -205 24192880579 0877 -232 May-00 341 283 264 245

Jun-00 247 0878887186 -34187 3 Jun-00 350 286 255 252

Jul-00 -156 24260079771 12301 -165 Jul-00 344 293 258 248

Aug-00 621 75396102385 45179 559 Aug-00 366 315 270 262

Sep-00 -528 09222855204 04031 -385 Sep-00 346 318 271 252

Oct-00 -042 299852918 44133 -131 Oct-00 345 327 283 248

Nov-00 -788 5315579778 110553 -68 Nov-00 318 345 314 231

Dec-00 049 -25942802121 -17463 193 Dec-00 319 336 308 236

1-Jan 355 -00863561154 -04261 284 Jan-01 331 335 307 243

1-Feb -912 16209515233 74179 -716 Feb-01 300 341 330 225

1-Mar -633 48299554873 94097 -52 Mar-01 281 357 361 213

1-Apr 777 -43323517245 -65179 61 Apr-01 303 342 337 227

1-May 067 24991627761 11086 031 May-01 305 350 341 227

1-Jun -243 -01569851257 00543 -165 Jun-01 298 350 341 223

1-Jul -098 -21829671963 -05079 -093 Jul-01 295 342 340 221

1-Aug -626 -26070979092 17884 -404 Aug-01 276 333 346 212

1-Sep -808 10636654952 60561 -685 Sep-01 254 337 367 198

1-Oct 191 09408124501 22528 233 Oct-01 259 340 375 203

1-Nov 767 -16137664028 -837 519 Nov-01 279 334 344 213

1-Dec 088 07970479005 -2992 094 Dec-01 281 337 333 215

2-Jan -146 01132698972 -26759 -115 Jan-02 277 338 324 213

2-Feb -193 -02410246265 -26221 -106 Feb-02 272 337 316 210

2-Mar 376 -64656658879 -37678 312 Mar-02 282 315 304 217

2-Apr -606 01559405489 -06737 -3 Apr-02 265 315 302 210

2-May -074 19425675286 49554 -043 May-02 263 322 317 209

2-Jun -712 46154392532 59609 -498 Jun-02 244 336 336 199

2-Jul -78 -09755577412 44704 -592 Jul-02 225 333 351 187

2-Aug 066 36669673432 29178 074 Aug-02 227 345 361 189

2-Sep -1087 42995914132 68228 -728 Sep-02 202 360 386 175

2-Oct 88 -18586716944 -39428 521 Oct-02 220 354 370 184

2-Nov 589 -06691963741 -43217 423 Nov-02 233 351 354 192

2-Dec -587 10504712371 65168 -333 Dec-02 219 388 377 185

3-Jan -262 79413180181 78029 -186 Jan-03 213 419 407 182

3-Feb -15 5839796145 24675 -082 Feb-03 210 443 417 180

3-Mar 097 -4822187841 -49263 039 Mar-03 212 422 396 181

3-Apr 824 08044165566 01717 619 Apr-03 230 425 397 192

3-May 527 86017617168 75621 492 May-03 242 462 427 202

3-Jun 128 -16232843116 -23723 11 Jun-03 245 454 417 204

3-Jul 176 -58470688666 -38819 084 Jul-03 249 428 401 206

3-Aug 195 -01285241001 24459 191 Aug-03 254 427 411 210

3-Sep -106 62607424571 26964 031 Sep-03 251 454 422 210

3-Oct 566 09634730462 79884 431 Oct-03 266 458 455 219

3-Nov 088 23264834944 02951 12 Nov-03 268 469 457 222

3-Dec 524 14110879536 8856 41 Dec-03 282 476 497 231

4-Jan 184 19478633231 26613 172 Jan-04 287 485 510 235

4-Feb 139 52879779623 57235 144 Feb-04 291 511 540 239

4-Mar -151 2268957551 -03792 -05 Mar-04 287 522 538 237

4-Apr -157 -56830338449 -105019 -233 Apr-04 282 493 481 232

4-May 137 -16566072328 -32214 087 May-04 286 484 466 234

4-Jun 194 -17215338796 -23435 168 Jun-04 292 476 455 238

4-Jul -331 -06069797015 -19673 -258 Jul-04 282 473 446 232

4-Aug 04 -05707405134 -31134 082 Aug-04 283 470 432 234

4-Sep 108 70162697766 75979 145 Sep-04 286 503 465 237

4-Oct 153 34033420009 3203 17 Oct-04 291 521 480 241

4-Nov 405 45583596598 79681 368 Nov-04 302 544 518 250

4-Dec 34 01240939032 07905 307 Dec-04 313 545 522 257

5-Jan -244 16755564551 -35158 -181 Jan-05 305 554 504 253

5-Feb 21 -20025648058 07235 196 Feb-05 311 543 507 258

5-Mar -177 -10751895082 -32131 -158 Mar-05 306 537 491 254

5-Apr -19 -2390258099 -3307 -143 Apr-05 300 524 475 250

5-May 318 08685813036 14103 272 May-05 310 529 481 257

5-Jun 014 2223478206 2443 083 Jun-05 310 541 493 259

5-Jul 372 -21671781188 16173 293 Jul-05 322 529 501 267

5-Aug -091 49286219575 23044 002 Aug-05 319 555 513 267

5-Sep 081 37034231946 44919 108 Sep-05 321 576 536 270

5-Oct -167 -41709576663 -50465 -191 Oct-05 316 552 509 264

5-Nov 378 22186228209 731 307 Nov-05 328 564 546 272

5-Dec 003 15087373486 26914 097 Dec-05 328 572 561 275

6-Jan 265 05184116785 49735 32 Jan-06 337 575 588 284

6-Feb 027 -12693666599 -08661 013 Feb-06 338 568 583 284

6-Mar 125 20763323239 66529 136 Mar-06 342 580 622 288

6-Apr 134 -11401031738 110633 149 Apr-06 346 573 691 292

6-May -288 -38328436628 -15079 -283 May-06 336 551 681 284

6-Jun 014 -17992981531 -41286 014 Jun-06 337 541 652 285

6-Jul 062 -32543371611 -14002 038 Jul-06 339 524 643 286

6-Aug 238 -01076272465 29098 232 Aug-06 347 523 662 292

6-Sep 258 07974403785 -03827 16 Sep-06 356 527 659 297

6-Oct 326 -29512764216 -00218 309 Oct-06 368 512 659 306

6-Nov 19 03172013357 58364 222 Nov-06 375 513 698 313

6-Dec 14 25165243518 03787 117 Dec-06 380 526 700 317

7-Jan 151 -10891073316 07036 127 Jan-07 386 520 705 321

7-Feb -196 -0242828355 -13437 -066 Feb-07 378 519 696 318

7-Mar 112 -24787732727 -10187 115 Mar-07 382 506 689 322

7-Apr 443 02879881174 68079 345 Apr-07 399 508 736 333

7-May 349 04724656451 33768 267 May-07 413 510 761 342

7-Jun -166 06726351642 29473 -111 Jun-07 406 514 783 338

7-Jul -31 -10308231752 -62002 -209 Jul-07 394 508 734 331

7-Aug 15 -48378452877 -4152 085 Aug-07 400 484 704 334

7-Sep 374 50760632525 70341 364 Sep-07 415 508 753 346

7-Oct 159 36478459472 64209 235 2672 Oct-07 421 527 802 354

7-Nov -418 -09519733939 -29049 -338 Nov-07 404 522 779 342

7-Dec -069 -00407441673 00631 -06 Dec-07 401 522 779 340

8-Jan -6 38885050267 87377 -527 Jan-08 377 542 847 322

8-Feb -325 79938792923 97517 -138 Feb-08 364 585 930 318

8-Mar -043 -01164410281 -17484 -069 Mar-08 363 585 913 316

8-Apr 487 -11768609649 -73215 412 Apr-08 381 578 847 329

8-May 13 26727320318 02045 143 May-08 385 593 848 334

8-Jun -843 38796643349 38908 -664 Jun-08 353 616 881 311

8-Jul -084 -111000927524 -63133 -116 Jul-08 350 548 826 308

8-Aug 145 -81389596386 09693 032 Aug-08 355 503 834 309

8-Sep -891 2350077992 4926 -863 Sep-08 323 515 875 282

8-Oct -1679 231353875038 118043 -1488 Oct-08 269 634 978 240

8-Nov -718 91409930423 52566 -464 Nov-08 250 692 1029 229

8-Dec 106 39012647249 17001 298 Dec-08 252 719 1047 236

9-Jan -843 36085657209 -01782 -629 Jan-09 231 745 1045 221

9-Feb -1065 17480110926 0841 -723 Feb-09 207 758 1054 205

9-Mar 876 -40891209192 -17399 626 Mar-09 225 727 1035 218

9-Apr 957 -52452980511 -24793 785 Apr-09 246 689 1010 235

9-May 559 -175764056892 24393 525 May-09 260 568 1034 247

9-Jun 02 26344903362 -3873 018 Jun-09 260 583 994 248

9-Jul 756 29911557926 15775 638 Jul-09 280 600 1010 264

9-Aug 361 66647387555 02737 292 Aug-09 290 640 1013 271

9-Sep 373 19908108013 31657 353 Sep-09 301 653 1045 281

9-Oct -186 -1135758063 -18836 -156 Oct-09 295 646 1025 276

9-Nov 6 429598654 65618 406 Nov-09 313 673 1092 288

9-Dec 193 -3538041182 -30108 161 Dec-09 319 649 1060 292

10-Jan -36 -22840646395 -587 -256 Jan-10 308 635 997 285

10-Feb 31 13842186803 10589 206 Feb-10 317 643 1008 291

10-Mar 603 38205356429 32922 477 Mar-10 336 668 1041 304

10-Apr 158 14253968325 03791 14 Apr-10 342 678 1045 309

10-May -799 -05569215148 17471 -621 May-10 314 674 1063 290

10-Jun -523 -23229482293 07896 -318 Jun-10 298 658 1072 280

10-Jul 701 -52850060701 -35575 569 Jul-10 319 623 1034 296

10-Aug -451 76993453056 43121 -284 Aug-10 305 671 1078 288

10-Sep 892 05035470246 12552 702 Sep-10 332 675 1092 308

10-Oct 38 35726262618 52271 293 Oct-10 344 699 1149 317

10-Nov 001 -46572458071 -67101 -044 Nov-10 344 666 1072 316

10-Dec 668 71205616987 60114 502 Dec-10 367 714 1136 332

11-Jan 237 14260916813 02413 151 Jan-11 376 724 1139 337

11-Feb 343 -08196213636 14822 271 Feb-11 389 718 1156 346

11-Mar 004 -25144800567 -53504 026 Mar-11 389 700 1094 347

11-Apr 296 51621261523 44419 292 Apr-11 401 736 1142 357

11-May -113 -18535770592 -51957 -088 May-11 396 722 1083 354

11-Jun -167 08676483656 -46402 -14 Jun-11 389 729 1033 349

11-Jul -203 93387304437 48149 -126 Jul-11 382 797 1083 344

11-Aug -543 3189583693 00543 -469 Aug-11 361 822 1083 328

11-Sep -703 -41599527992 34989 -619 Sep-11 335 788 1121 308

11-Oct 1093 -13852548076 -6243 834 Oct-11 372 777 1051 333

11-Nov -022 39284953285 -00578 -096 Nov-11 371 808 1050 330

11-Dec 102 01889893545 02082 061 Dec-11 375 809 1053 332

12-Jan 448 -01521632453 -04526 426 Jan-12 392 808 1048 346

12-Feb 432 -22430032837 14221 342 Feb-12 409 790 1063 358

12-Mar 329 -12258940456 -21399 158 Mar-12 422 780 1040 364

12-Apr -063 13756177692 -18216 -038 Apr-12 420 791 1021 363

12-May -601 43616823461 38067 -528 May-12 394 825 1060 343

12-Jun 412 -61107318666 -83896 324 Jun-12 411 775 971 355

12-Jul 139 -2662867044 20145 115 Jul-12 416 754 991 359

12-Aug 225 -29540623033 -22929 186 Aug-12 426 732 968 365

12-Sep 258 -47724948882 -20234 22 Sep-12 437 697 948 373

12-Oct -185 -18050840884 -36659 -098 Oct-12 429 684 914 370

12-Nov 058 -03984415062 -0944 079 Nov-12 431 682 905 373

12-Dec 091 -17220762656 24366 124 Dec-12 435 670 927 377

13-Jan 518 -04335912154 32593 387 Jan-13 458 667 957 392

13-Feb 136 -29598734504 01523 08 Feb-13 464 647 959 395

13-Mar 375 -04786782014 2166 255 Mar-13 481 644 979 405

13-Apr 193 11854540053 29259 181 Apr-13 490 652 1008 412

13-May 234 -43222576245 -06784 082 May-13 502 624 1001 416

13-Jun -134 06875789801 10553 -177 Jun-13 495 628 1012 408

13-Jul 509 06412005306 -19554 423 Jul-13 520 632 992 426

13-Aug -29 11512128942 -11474 -214 Aug-13 505 639 981 417

13-Sep 314 -19925877399 -05148 361 Sep-13 521 626 976 432

13-Oct 46 -07538953205 -06933 349 Oct-13 545 622 969 447

13-Nov 305 27584740935 46402 189 Nov-13 562 639 1014 455

13-Dec 253 19377872096 15067 18 Dec-13 576 651 1029 463

14-Jan -346 -08961192857 -51141 -251 Jan-14 556 645 976 452

14-Feb 457 -00139276726 -05865 399 Feb-14 581 645 971 470

14-Mar 084 -34260446582 -18865 037 Mar-14 586 623 952 471

14-Apr 074 22210329784 03199 043 Apr-14 591 637 955 473

14-May 235 -07288421342 07134 197 May-14 605 632 962 483

14-Jun 207 05841054246 00135 195 Jun-14 617 636 962 492

14-Jul -138 -00888949644 03097 -153 Jul-14 609 636 965 485

14-Aug 4 18791535569 48657 313 Aug-14 633 648 1012 500

14-Sep -14 69028951277 63915 -221 Sep-14 624 692 1077 489

14-Oct 244 21563513841 15927 194 Oct-14 639 707 1094 498

14-Nov 269 72204527611 104647 19 Nov-14 657 758 1209 508 LTCMRussian Debt (July 98 - Sept 98)

14-Dec -025 76468641712 47745 -044 Dec-14 655 816 1266 506 Tech Bubble (April 00 - Sept 02)

15-Jan -3 54094515689 113573 -159 Jan-15 635 860 1410 497 Financial Crisis (Oct 07 - Feb 09)

15-Feb 575 -50846010492 -16603 45 Feb-15 672 817 1387 520

15-Mar -158 65245129876 57568 -083 Mar-15 661 870 1467 516

15-Apr 096 -88441663253 -51219 09 Apr-15 667 793 1392 520

15-May 129 40875447394 08884 073 May-15 676 825 1404 524

15-Jun -194 -66047202646 -62159 -171 Jun-15 663 771 1317 515

15-Jul 21 80060563143 34205 126 Jul-15 677 833 1362 522

15-Aug -603 -10026780942 -24342 -522 Aug-15 636 824 1329 494

15-Sep -247 36089130828 34355 -247 Sep-15 620 854 1374 482

15-Oct 844 -16993598229 -58073 637 Oct-15 673 839 1294 513

15-Nov 03 48441920313 30487 01 Nov-15 675 880 1334 513

15-Dec -158 11998205926 -10345 -173 Dec-15 664 891 1320 504

16-Jan -496 31480723033 48626 -453 Jan-16 631 919 1384 482

16-Feb -013 33572073647 44379 -002 Feb-16 630 950 1446 481

16-Mar 678 -61786855584 -39621 601 Mar-16 673 891 1388 510

16-Apr 039 -31282642584 09914 082 Apr-16 676 863 1402 515

16-May 18 -08911812015 -5253 107 May-16 688 855 1328 520

16-Jun 026 65324823204 94059 03 Jun-16 690 911 1453 522

16-Jul 369 21567955023 02767 348 Jul-16 715 931 1457 540

16-Aug 014 -15149 -44038 024 Aug-16 716 917 1393 541

16-Sep 002 10335 0967 025 Sep-16 716 926 1407 542

-41363

Correllation 100 -022 -015 097

skew -04 02 01 -08

Kurt 198 469 -028 186

1Rhode Island SIC Systematic Trend Following

Table of Contents

Section Tab

Brief Background amp Review of CROSM class management 1

Systematic Trend Following Strategy amp Benchmark Review 2

Due Diligence Plan Update Relating To STF and Platform 3Manager

Appendix




Background

























PlatformManager

RIA and Fiduciary





PlatformManager


















0 1 2 3 4 5 6 7 8 9 10



























































-30

-20

-10

0

10

20

30

40

Annu

al R

etur

ns -





CSMF IndexTM


$0

$2

$4

$6

$8

$10

$12

$14

$16









Annlzd Ret

Annlzd Risk

Sharpe Ratio

Annlzd Ret

Annlzd Risk

Sharpe Ratio

Annlzd Ret

Annlzd Risk

Sharpe Ratio

Annlzd Ret

Annlzd Risk

Sharpe Ratio


3 Years 139 145 10 130 156 08 79 90 09 112 108 105 Years 33 129 03 46 138 03 120 92 13 164 111 15

10 Years 58 163 03 79 144 05 62 124 04 72 153 0420 Years 98 141 05 117 147 06 71 121 04 79 154 04






SampP 500

Nov-07 - Feb-09

Mar-09 - Mar-12

113 127 -145


326 277 -309

121 143 -88

26

-2509 -277 -42163 21 16



Data



Performance Stats


Correlations

Annual Returns
















20 Year Correlation




































Appendix




MLM 3x Index

TrendCS MF Index


10 Total 1000 1000



306 -210








1970 1607 9491971 648 -5801972 278 12791973 9190 63231974 1458 51501975 -620 -20551976 851 14651977 374 15591978 -178 4531979 2107 31971980 -568 4861981 2839 18891982 1278 13801983 -1005 -11941984 1281 0881985 239 5561986 456 2281987 643 10851988 188 -10381989 809 0551990 657 3771991 -604 -7281992 -557 -12351993 481 14301994 549 -7851995 384 14781996 409 21071997 077 0061998 992 10741999 -564 -12982000 3782 0122001 043 0492002 -972 11652003 1191 39572004 992 0172005 456 1152006 -1329 24292007 -461 4192008 4324 42422009 -811 -3752010 1370 5092011 1740 -16162012 -1910 -22872013 -127 10762014 2995 28432015 1359 086

-4000

-2000

000

2000

4000

6000

8000

10000

1970

1971

1972

1973

1974

1975

1976

1977

1978

1979

1980

1981

1982

1983

1984

1985

1986

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015


$0

$500

$1000

$1500

$2000

$2500

Growth of $100
























Instruments Futures














o Gain = ($50-$43) x 1000 = $7000


































Slide Number 1

Slide Number 2

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Slide Number 10

Slide Number 11

Slide Number 12

Slide Number 13

Slide Number 14

Slide Number 15

Slide Number 16

Slide Number 17

Slide Number 18

Slide Number 19

Slide Number 20

Slide Number 21

Slide Number 22

Slide Number 23

Slide Number 24

Slide Number 25

Slide Number 26

Slide Number 27

Slide Number 28

Slide Number 29

Slide Number 30

Slide Number 31

Slide Number 32

Slide Number 33

Slide Number 34

Slide Number 35

Slide Number 36

Slide Number 37


1995 0219 0228 0265 1995 0219 0313 0265

1996 0311 0264 0146 1996 0311 0364 0146

1997 0154 014 0219 1997 0154 0175 0219

1998 0406 0209 0197 1998 0406 0269 0197

1999 007 0066 0182 1999 007 0053 0182

2000 0211 0087 -0056 2000 0211 0097 -0056

2001 0004 007 -0088 2001 0004 008 -0088

2002 0151 0112 -0138 2002 0151 0133 -0138

2003 0226 0213 0247 2003 0226 0317 0247

2004 0146 0042 0114 2004 0146 005 0114

2005 005 0063 0069 2005 005 0074 0069

2006 -008 0188 0151 2006 -008 025 0151

2007 -0009 0095 0075 2007 -0009 0112 0075

2008 0379 023 -0307 2008 0379 0344 -0307

2009 -0097 0009 0239 2009 -0097 0012 0239

2010 0099 005 0135 2010 0099 0072 0135

2011 0134 -0048 0002 2011 0134 -0073 0002

2012 -0172 -008 0135 2012 -0172 -0119 0135

2013 -0028 0075 0228 2013 -0028 011 0228

2014 0253 0158 0091 2014 0253 0231 0091

2015 0091 0036 -0002 2015 0091 0042 -0002

Return 110 101 80 Return 110 131 80

StDev 153 93 146 StDev 153 134 146

Corr to 7030 -023 005 100 Corr to 7030 -023 004 100











20 Year Correlation

SampP 500 7030 MLM

7030 Portfolio 098





5 5 5 5 5 5 5 5












Correlation to date


5 5 5 5

SampP 500 Index 1 098 -027 -018

7030 Portfolio 098 1 -026 -016

MLM Index 3X -027 -026 1 066





1 Year 85 124 07 24 162 01 125 105 12 154 125 12

3 Years 139 145 10 130 156 08 79 90 09 112 108 10




1 Year 1543 1246 122 1252 1052 116 846 1244 066 24 162 01







01298 0156








1 Year 85 124 07 14 90 01 125 105 12

3 Years 139 145 10 90 103 09 79 90 09

5 Years 33 129 03 35 92 04 120 92 13

10 Years 58 163 03 58 97 05 62 124 04

20 Years 98 141 05 91 100 07 71 121 04



















Mar-73 009 NA NA NA



Jun-73 -04 NA NA NA

Jul-73 406 NA NA NA


Sep-73 427 NA NA NA

Oct-73 013 NA NA NA


Dec-73 196 NA NA NA










Oct-74 168 NA NA NA

Nov-74 -49 NA NA NA



Feb-75 639 NA NA NA

Mar-75 255 NA NA NA

Apr-75 509 NA NA NA

May-75 476 NA NA NA

Jun-75 477 NA NA NA




Oct-75 654 NA NA NA

Nov-75 281 NA NA NA




Mar-76 338 NA NA NA

Apr-76 -08 NA NA NA


Jun-76 441 NA NA NA

Jul-76 -05 NA NA NA

Aug-76 -02 NA NA NA

Sep-76 258 NA NA NA



Dec-76 558 NA NA NA




Apr-77 038 NA NA NA


Jun-77 493 NA NA NA



Sep-77 015 NA NA NA


Nov-77 312 NA NA NA

Dec-77 071 NA NA NA



Mar-78 297 NA NA NA

Apr-78 901 NA NA NA

May-78 086 NA NA NA


Jul-78 584 NA NA NA

Aug-78 302 NA NA NA



Nov-78 213 NA NA NA

Dec-78 194 NA NA NA

Jan-79 443 NA NA NA


Mar-79 598 NA NA NA

Apr-79 061 NA NA NA


Jun-79 434 NA NA NA

Jul-79 133 NA NA NA

Aug-79 576 NA NA NA

Sep-79 044 NA NA NA


Nov-79 472 NA NA NA

Dec-79 22 NA NA NA

Jan-80 621 NA NA NA



Apr-80 462 NA NA NA

May-80 515 NA NA NA

Jun-80 316 NA NA NA

Jul-80 696 NA NA NA

Aug-80 101 NA NA NA

Sep-80 294 NA NA NA

Oct-80 202 NA NA NA



Jan-81 -42 NA NA NA

Feb-81 172 NA NA NA

Mar-81 399 NA NA NA


May-81 025 NA NA NA


Jul-81 021 NA NA NA



Oct-81 54 NA NA NA

Nov-81 412 NA NA NA


Jan-82 -13 NA NA NA



Apr-82 452 NA NA NA


Jun-82 -15 NA NA NA



Sep-82 124 NA NA NA


Nov-82 404 NA NA NA

Dec-82 193 NA NA NA

Jan-83 372 NA NA NA

Feb-83 229 NA NA NA

Mar-83 369 NA NA NA

Apr-83 788 NA NA NA


Jun-83 389 NA NA NA


Aug-83 15 NA NA NA

Sep-83 138 NA NA NA


Nov-83 211 NA NA NA




Mar-84 173 NA NA NA

Apr-84 092 NA NA NA


Jun-84 214 NA NA NA



Sep-84 002 NA NA NA

Oct-84 038 NA NA NA


Dec-84 264 NA NA NA

Jan-85 779 NA NA NA

Feb-85 123 NA NA NA

Mar-85 006 NA NA NA


May-85 578 NA NA NA

Jun-85 157 NA NA NA




Oct-85 462 NA NA NA

Nov-85 686 NA NA NA

Dec-85 484 NA NA NA

Jan-86 056 NA NA NA

Feb-86 747 NA NA NA

Mar-86 558 NA NA NA


May-86 532 NA NA NA

Jun-86 169 NA NA NA


Aug-86 741 NA NA NA


Oct-86 577 NA NA NA

Nov-86 243 NA NA NA



Feb-87 395 NA NA NA

Mar-87 289 NA NA NA


May-87 087 NA NA NA

Jun-87 505 NA NA NA

Jul-87 507 NA NA NA

Aug-87 373 NA NA NA




Dec-87 761 NA NA NA

Jan-88 421 NA NA 349

Feb-88 466 NA NA 436

Mar-88 -309 NA NA 036

Apr-88 11 NA NA 066

May-88 086 NA NA -09

Jun-88 458 NA NA 252

Jul-88 -038 NA NA 02

Aug-88 -34 NA NA -286

Sep-88 425 NA NA 359

Oct-88 282 NA NA 344

Nov-88 -143 NA NA 034

Dec-88 174 NA NA 116

Jan-89 731 NA NA 398

Feb-89 -248 NA NA -089

Mar-89 232 NA NA 07

Apr-89 52 NA NA 323

May-89 405 NA NA 14

Jun-89 -057 NA NA 004

Jul-89 903 NA NA 742

Aug-89 195 NA NA -04

Sep-89 -041 NA NA 113

Oct-89 -232 NA NA -171

Nov-89 204 NA NA 23

Dec-89 24 NA NA 194

Jan-90 -671 NA NA -478

Feb-90 13 NA NA -08

Mar-90 264 NA NA -117

Apr-90 -249 NA NA -177

May-90 975 NA NA 786

Jun-90 -067 NA NA -001

Jul-90 -032 NA NA 019

Aug-90 -904 NA NA -722

Sep-90 -487 NA NA -53

Oct-90 -043 NA NA 295

Nov-90 646 NA NA 26

Dec-90 279 NA NA 235

Jan-91 435 NA NA 348

Feb-91 715 NA NA 62

Mar-91 242 NA NA 049

Apr-91 024 NA NA 058

May-91 431 NA NA 257

Jun-91 -458 NA NA -379

Jul-91 466 NA NA 377

Aug-91 237 NA NA 166

Sep-91 -167 NA NA 095

Oct-91 134 NA NA 152

Nov-91 -403 NA NA -26

Dec-91 1144 NA NA 76

Jan-92 -186 -50186134107 NA -101

Feb-92 13 -11806985257 NA 03

Mar-92 -194 -34682100213 NA -245

Apr-92 294 04856690806 NA 135

May-92 049 36691977834 NA 196

Jun-92 -149 3995994645 NA -144

Jul-92 409 58382478439 NA 241

Aug-92 -205 21392596519 NA 003

Sep-92 118 -10417441781 NA 069

Oct-92 035 -11426309261 NA -063

Nov-92 34 -24243841368 NA 231

Dec-92 123 03309287484 NA 157

Jan-93 084 12125566229 NA 109

Feb-93 136 59842293696 NA 136

Mar-93 211 -06484088187 NA 282

Apr-93 -242 09183032136 NA 027

May-93 268 -00124707027 NA 196

Jun-93 029 75565231659 NA 064

Jul-93 -04 34694235802 NA 068

Aug-93 379 26998187389 NA 356

Sep-93 -077 -35544940483 NA -032

Oct-93 207 12906000348 NA 154

Nov-93 -095 39231376084 NA -251

Dec-93 121 23140907663 NA 262

Jan-94 34 -16392143954 NA 357

Feb-94 -271 -5375365439 NA -19

Mar-94 -436 -17526970615 NA -389

Apr-94 128 -31042584129 NA 106

May-94 164 21687630069 NA 058

Jun-94 -245 -02802505425 NA -136

Jul-94 328 -09170406074 NA 249

Aug-94 41 03148132864 NA 3

Sep-94 -245 49091708791 NA -203

Oct-94 225 33710507687 NA 14


Dec-94 148 11635880505 NA 095 Dec-94 100 100 100 100

Jan-95 259 1488846469 18462 078 Jan-95 103 101 102 101

Feb-95 39 18245801927 -04746 274 Feb-95 107 103 101 104

Mar-95 295 37741988604 70854 257 Mar-95 110 107 109 106

Apr-95 294 20196669281 31179 254 Apr-95 113 109 112 109

May-95 4 4438151788 78944 291 May-95 117 114 121 112

Jun-95 232 15287989065 -04753 152 Jun-95 120 116 120 114

Jul-95 332 -14769041128 -2252 32 Jul-95 124 114 117 117

Aug-95 025 -36439459991 -31269 016 Aug-95 125 110 114 118

Sep-95 422 05926567612 39491 274 Sep-95 130 111 118 121

Oct-95 -036 2635846499 25163 -064 Oct-95 129 114 121 120

Nov-95 439 27162162082 33589 332 Nov-95 135 117 125 124

Dec-95 193 4331305919 47021 198 Dec-95 138 122 131 126

Jan-96 34 19634168588 54269 207 Jan-96 142 124 138 129

Feb-96 093 -13857157749 -37777 042 Feb-96 144 123 133 130

Mar-96 096 3570816298 36706 074 Mar-96 145 127 138 131

Apr-96 147 47035792726 48573 151 Apr-96 147 133 145 133

May-96 258 04897246276 -23907 119 May-96 151 134 141 134

Jun-96 038 04231657395 28546 021 Jun-96 151 134 145 134

Jul-96 -442 -32825387444 -5322 -362 Jul-96 145 130 138 130

Aug-96 211 50232432929 29044 183 Aug-96 148 136 142 132

Sep-96 563 54206924649 82056 405 Sep-96 156 144 153 137

Oct-96 276 51159466491 83507 144 Oct-96 160 151 166 139

Nov-96 756 43728165918 864 527 Nov-96 173 158 180 147

Dec-96 -198 14093703517 -07113 -113 Dec-96 169 160 179 145

Jan-97 625 17011191838 -16167 314 Jan-97 180 162 176 150

Feb-97 078 -17477703643 -15622 041 Feb-97 181 160 173 150

Mar-97 -411 -0910181567 12022 -309 Mar-97 174 158 175 145

Apr-97 597 09232176853 15126 349 Apr-97 184 160 178 151

May-97 609 -06805906276 09263 543 May-97 195 159 180 159

Jun-97 448 14017438969 -08095 375 Jun-97 204 161 178 165

Jul-97 796 41579104051 60499 584 Jul-97 220 167 189 174

Aug-97 -56 -24491709033 -58848 -401 Aug-97 208 163 178 167

Sep-97 548 23206853381 65934 476 Sep-97 219 167 190 175

Oct-97 -334 3155194786 26194 -317 Oct-97 212 172 195 170

Nov-97 463 1734137994 34076 24 Nov-97 222 175 201 174

Dec-97 172 50839377232 45191 168 Dec-97 226 184 210 177

Jan-98 111 -0540706989 01984 101 Jan-98 228 183 211 178

Feb-98 721 40902523842 09547 561 Feb-98 245 191 213 189

Mar-98 512 4564059454 36725 385 Mar-98 257 200 221 196

Apr-98 101 10197007162 2729 086 Apr-98 260 202 227 197

May-98 -172 66464318242 49967 -174 May-98 255 215 238 194

Jun-98 406 14535097859 12227 237 Jun-98 266 218 241 199

Jul-98 -106 79600070571 25845 -106 143 Jul-98 263 235 247 197

Aug-98 -1446 85969949752 100188 -1191 Aug-98 225 256 272 173

Sep-98 641 -43471273323 13057 462 Sep-98 239 245 275 181

Oct-98 813 -21914686666 -48215 62 Oct-98 259 239 262 192

Nov-98 606 35427775078 -16838 49 Nov-98 274 248 258 202

Dec-98 576 46223079694 36184 48 Dec-98 290 259 267 211

Jan-99 418 11652083769 -13599 243 Jan-99 302 262 263 217

Feb-99 -311 08705260303 -29127 -306 Feb-99 293 264 256 210

Mar-99 4 -66775958823 -24295 326 Mar-99 305 247 250 217

Apr-99 387 22077437514 51823 383 Apr-99 316 252 263 225

May-99 -236 05593377297 -19638 -207 May-99 309 254 257 220

Jun-99 555 0821055256 43706 406 Jun-99 326 256 269 229

Jul-99 -312 -05417097185 00435 -19 Jul-99 316 254 269 225

Aug-99 -049 12651757883 01021 -075 Aug-99 314 258 269 223

Sep-99 -274 24672781685 05889 -147 Sep-99 306 264 271 220

Oct-99 633 -17330628613 -47866 486 Oct-99 325 259 258 231

Nov-99 203 37710155755 29817 248 Nov-99 332 269 265 236

Dec-99 589 30182108515 60293 568 Dec-99 351 277 281 250

Jan-00 -502 24897212667 -25282 -359 Jan-00 334 284 274 241

Feb-00 -189 -05713037029 10256 122 Feb-00 327 283 277 244

Mar-00 978 -24716293218 -3378 621 Mar-00 359 276 268 259

Apr-00 -301 03990582414 -22613 -331 1573 Apr-00 348 277 262 250

May-00 -205 24192880579 0877 -232 May-00 341 283 264 245

Jun-00 247 0878887186 -34187 3 Jun-00 350 286 255 252

Jul-00 -156 24260079771 12301 -165 Jul-00 344 293 258 248

Aug-00 621 75396102385 45179 559 Aug-00 366 315 270 262

Sep-00 -528 09222855204 04031 -385 Sep-00 346 318 271 252

Oct-00 -042 299852918 44133 -131 Oct-00 345 327 283 248

Nov-00 -788 5315579778 110553 -68 Nov-00 318 345 314 231

Dec-00 049 -25942802121 -17463 193 Dec-00 319 336 308 236

1-Jan 355 -00863561154 -04261 284 Jan-01 331 335 307 243

1-Feb -912 16209515233 74179 -716 Feb-01 300 341 330 225

1-Mar -633 48299554873 94097 -52 Mar-01 281 357 361 213

1-Apr 777 -43323517245 -65179 61 Apr-01 303 342 337 227

1-May 067 24991627761 11086 031 May-01 305 350 341 227

1-Jun -243 -01569851257 00543 -165 Jun-01 298 350 341 223

1-Jul -098 -21829671963 -05079 -093 Jul-01 295 342 340 221

1-Aug -626 -26070979092 17884 -404 Aug-01 276 333 346 212

1-Sep -808 10636654952 60561 -685 Sep-01 254 337 367 198

1-Oct 191 09408124501 22528 233 Oct-01 259 340 375 203

1-Nov 767 -16137664028 -837 519 Nov-01 279 334 344 213

1-Dec 088 07970479005 -2992 094 Dec-01 281 337 333 215

2-Jan -146 01132698972 -26759 -115 Jan-02 277 338 324 213

2-Feb -193 -02410246265 -26221 -106 Feb-02 272 337 316 210

2-Mar 376 -64656658879 -37678 312 Mar-02 282 315 304 217

2-Apr -606 01559405489 -06737 -3 Apr-02 265 315 302 210

2-May -074 19425675286 49554 -043 May-02 263 322 317 209

2-Jun -712 46154392532 59609 -498 Jun-02 244 336 336 199

2-Jul -78 -09755577412 44704 -592 Jul-02 225 333 351 187

2-Aug 066 36669673432 29178 074 Aug-02 227 345 361 189

2-Sep -1087 42995914132 68228 -728 Sep-02 202 360 386 175

2-Oct 88 -18586716944 -39428 521 Oct-02 220 354 370 184

2-Nov 589 -06691963741 -43217 423 Nov-02 233 351 354 192

2-Dec -587 10504712371 65168 -333 Dec-02 219 388 377 185

3-Jan -262 79413180181 78029 -186 Jan-03 213 419 407 182

3-Feb -15 5839796145 24675 -082 Feb-03 210 443 417 180

3-Mar 097 -4822187841 -49263 039 Mar-03 212 422 396 181

3-Apr 824 08044165566 01717 619 Apr-03 230 425 397 192

3-May 527 86017617168 75621 492 May-03 242 462 427 202

3-Jun 128 -16232843116 -23723 11 Jun-03 245 454 417 204

3-Jul 176 -58470688666 -38819 084 Jul-03 249 428 401 206

3-Aug 195 -01285241001 24459 191 Aug-03 254 427 411 210

3-Sep -106 62607424571 26964 031 Sep-03 251 454 422 210

3-Oct 566 09634730462 79884 431 Oct-03 266 458 455 219

3-Nov 088 23264834944 02951 12 Nov-03 268 469 457 222

3-Dec 524 14110879536 8856 41 Dec-03 282 476 497 231

4-Jan 184 19478633231 26613 172 Jan-04 287 485 510 235

4-Feb 139 52879779623 57235 144 Feb-04 291 511 540 239

4-Mar -151 2268957551 -03792 -05 Mar-04 287 522 538 237

4-Apr -157 -56830338449 -105019 -233 Apr-04 282 493 481 232

4-May 137 -16566072328 -32214 087 May-04 286 484 466 234

4-Jun 194 -17215338796 -23435 168 Jun-04 292 476 455 238

4-Jul -331 -06069797015 -19673 -258 Jul-04 282 473 446 232

4-Aug 04 -05707405134 -31134 082 Aug-04 283 470 432 234

4-Sep 108 70162697766 75979 145 Sep-04 286 503 465 237

4-Oct 153 34033420009 3203 17 Oct-04 291 521 480 241

4-Nov 405 45583596598 79681 368 Nov-04 302 544 518 250

4-Dec 34 01240939032 07905 307 Dec-04 313 545 522 257

5-Jan -244 16755564551 -35158 -181 Jan-05 305 554 504 253

5-Feb 21 -20025648058 07235 196 Feb-05 311 543 507 258

5-Mar -177 -10751895082 -32131 -158 Mar-05 306 537 491 254

5-Apr -19 -2390258099 -3307 -143 Apr-05 300 524 475 250

5-May 318 08685813036 14103 272 May-05 310 529 481 257

5-Jun 014 2223478206 2443 083 Jun-05 310 541 493 259

5-Jul 372 -21671781188 16173 293 Jul-05 322 529 501 267

5-Aug -091 49286219575 23044 002 Aug-05 319 555 513 267

5-Sep 081 37034231946 44919 108 Sep-05 321 576 536 270

5-Oct -167 -41709576663 -50465 -191 Oct-05 316 552 509 264

5-Nov 378 22186228209 731 307 Nov-05 328 564 546 272

5-Dec 003 15087373486 26914 097 Dec-05 328 572 561 275

6-Jan 265 05184116785 49735 32 Jan-06 337 575 588 284

6-Feb 027 -12693666599 -08661 013 Feb-06 338 568 583 284

6-Mar 125 20763323239 66529 136 Mar-06 342 580 622 288

6-Apr 134 -11401031738 110633 149 Apr-06 346 573 691 292

6-May -288 -38328436628 -15079 -283 May-06 336 551 681 284

6-Jun 014 -17992981531 -41286 014 Jun-06 337 541 652 285

6-Jul 062 -32543371611 -14002 038 Jul-06 339 524 643 286

6-Aug 238 -01076272465 29098 232 Aug-06 347 523 662 292

6-Sep 258 07974403785 -03827 16 Sep-06 356 527 659 297

6-Oct 326 -29512764216 -00218 309 Oct-06 368 512 659 306

6-Nov 19 03172013357 58364 222 Nov-06 375 513 698 313

6-Dec 14 25165243518 03787 117 Dec-06 380 526 700 317

7-Jan 151 -10891073316 07036 127 Jan-07 386 520 705 321

7-Feb -196 -0242828355 -13437 -066 Feb-07 378 519 696 318

7-Mar 112 -24787732727 -10187 115 Mar-07 382 506 689 322

7-Apr 443 02879881174 68079 345 Apr-07 399 508 736 333

7-May 349 04724656451 33768 267 May-07 413 510 761 342

7-Jun -166 06726351642 29473 -111 Jun-07 406 514 783 338

7-Jul -31 -10308231752 -62002 -209 Jul-07 394 508 734 331

7-Aug 15 -48378452877 -4152 085 Aug-07 400 484 704 334

7-Sep 374 50760632525 70341 364 Sep-07 415 508 753 346

7-Oct 159 36478459472 64209 235 2672 Oct-07 421 527 802 354

7-Nov -418 -09519733939 -29049 -338 Nov-07 404 522 779 342

7-Dec -069 -00407441673 00631 -06 Dec-07 401 522 779 340

8-Jan -6 38885050267 87377 -527 Jan-08 377 542 847 322

8-Feb -325 79938792923 97517 -138 Feb-08 364 585 930 318

8-Mar -043 -01164410281 -17484 -069 Mar-08 363 585 913 316

8-Apr 487 -11768609649 -73215 412 Apr-08 381 578 847 329

8-May 13 26727320318 02045 143 May-08 385 593 848 334

8-Jun -843 38796643349 38908 -664 Jun-08 353 616 881 311

8-Jul -084 -111000927524 -63133 -116 Jul-08 350 548 826 308

8-Aug 145 -81389596386 09693 032 Aug-08 355 503 834 309

8-Sep -891 2350077992 4926 -863 Sep-08 323 515 875 282

8-Oct -1679 231353875038 118043 -1488 Oct-08 269 634 978 240

8-Nov -718 91409930423 52566 -464 Nov-08 250 692 1029 229

8-Dec 106 39012647249 17001 298 Dec-08 252 719 1047 236

9-Jan -843 36085657209 -01782 -629 Jan-09 231 745 1045 221

9-Feb -1065 17480110926 0841 -723 Feb-09 207 758 1054 205

9-Mar 876 -40891209192 -17399 626 Mar-09 225 727 1035 218

9-Apr 957 -52452980511 -24793 785 Apr-09 246 689 1010 235

9-May 559 -175764056892 24393 525 May-09 260 568 1034 247

9-Jun 02 26344903362 -3873 018 Jun-09 260 583 994 248

9-Jul 756 29911557926 15775 638 Jul-09 280 600 1010 264

9-Aug 361 66647387555 02737 292 Aug-09 290 640 1013 271

9-Sep 373 19908108013 31657 353 Sep-09 301 653 1045 281

9-Oct -186 -1135758063 -18836 -156 Oct-09 295 646 1025 276

9-Nov 6 429598654 65618 406 Nov-09 313 673 1092 288

9-Dec 193 -3538041182 -30108 161 Dec-09 319 649 1060 292

10-Jan -36 -22840646395 -587 -256 Jan-10 308 635 997 285

10-Feb 31 13842186803 10589 206 Feb-10 317 643 1008 291

10-Mar 603 38205356429 32922 477 Mar-10 336 668 1041 304

10-Apr 158 14253968325 03791 14 Apr-10 342 678 1045 309

10-May -799 -05569215148 17471 -621 May-10 314 674 1063 290

10-Jun -523 -23229482293 07896 -318 Jun-10 298 658 1072 280

10-Jul 701 -52850060701 -35575 569 Jul-10 319 623 1034 296

10-Aug -451 76993453056 43121 -284 Aug-10 305 671 1078 288

10-Sep 892 05035470246 12552 702 Sep-10 332 675 1092 308

10-Oct 38 35726262618 52271 293 Oct-10 344 699 1149 317

10-Nov 001 -46572458071 -67101 -044 Nov-10 344 666 1072 316

10-Dec 668 71205616987 60114 502 Dec-10 367 714 1136 332

11-Jan 237 14260916813 02413 151 Jan-11 376 724 1139 337

11-Feb 343 -08196213636 14822 271 Feb-11 389 718 1156 346

11-Mar 004 -25144800567 -53504 026 Mar-11 389 700 1094 347

11-Apr 296 51621261523 44419 292 Apr-11 401 736 1142 357

11-May -113 -18535770592 -51957 -088 May-11 396 722 1083 354

11-Jun -167 08676483656 -46402 -14 Jun-11 389 729 1033 349

11-Jul -203 93387304437 48149 -126 Jul-11 382 797 1083 344

11-Aug -543 3189583693 00543 -469 Aug-11 361 822 1083 328

11-Sep -703 -41599527992 34989 -619 Sep-11 335 788 1121 308

11-Oct 1093 -13852548076 -6243 834 Oct-11 372 777 1051 333

11-Nov -022 39284953285 -00578 -096 Nov-11 371 808 1050 330

11-Dec 102 01889893545 02082 061 Dec-11 375 809 1053 332

12-Jan 448 -01521632453 -04526 426 Jan-12 392 808 1048 346

12-Feb 432 -22430032837 14221 342 Feb-12 409 790 1063 358

12-Mar 329 -12258940456 -21399 158 Mar-12 422 780 1040 364

12-Apr -063 13756177692 -18216 -038 Apr-12 420 791 1021 363

12-May -601 43616823461 38067 -528 May-12 394 825 1060 343

12-Jun 412 -61107318666 -83896 324 Jun-12 411 775 971 355

12-Jul 139 -2662867044 20145 115 Jul-12 416 754 991 359

12-Aug 225 -29540623033 -22929 186 Aug-12 426 732 968 365

12-Sep 258 -47724948882 -20234 22 Sep-12 437 697 948 373

12-Oct -185 -18050840884 -36659 -098 Oct-12 429 684 914 370

12-Nov 058 -03984415062 -0944 079 Nov-12 431 682 905 373

12-Dec 091 -17220762656 24366 124 Dec-12 435 670 927 377

13-Jan 518 -04335912154 32593 387 Jan-13 458 667 957 392

13-Feb 136 -29598734504 01523 08 Feb-13 464 647 959 395

13-Mar 375 -04786782014 2166 255 Mar-13 481 644 979 405

13-Apr 193 11854540053 29259 181 Apr-13 490 652 1008 412

13-May 234 -43222576245 -06784 082 May-13 502 624 1001 416

13-Jun -134 06875789801 10553 -177 Jun-13 495 628 1012 408

13-Jul 509 06412005306 -19554 423 Jul-13 520 632 992 426

13-Aug -29 11512128942 -11474 -214 Aug-13 505 639 981 417

13-Sep 314 -19925877399 -05148 361 Sep-13 521 626 976 432

13-Oct 46 -07538953205 -06933 349 Oct-13 545 622 969 447

13-Nov 305 27584740935 46402 189 Nov-13 562 639 1014 455

13-Dec 253 19377872096 15067 18 Dec-13 576 651 1029 463

14-Jan -346 -08961192857 -51141 -251 Jan-14 556 645 976 452

14-Feb 457 -00139276726 -05865 399 Feb-14 581 645 971 470

14-Mar 084 -34260446582 -18865 037 Mar-14 586 623 952 471

14-Apr 074 22210329784 03199 043 Apr-14 591 637 955 473

14-May 235 -07288421342 07134 197 May-14 605 632 962 483

14-Jun 207 05841054246 00135 195 Jun-14 617 636 962 492

14-Jul -138 -00888949644 03097 -153 Jul-14 609 636 965 485

14-Aug 4 18791535569 48657 313 Aug-14 633 648 1012 500

14-Sep -14 69028951277 63915 -221 Sep-14 624 692 1077 489

14-Oct 244 21563513841 15927 194 Oct-14 639 707 1094 498




15-Feb 575 -50846010492 -16603 45 Feb-15 672 817 1387 520

15-Mar -158 65245129876 57568 -083 Mar-15 661 870 1467 516

15-Apr 096 -88441663253 -51219 09 Apr-15 667 793 1392 520

15-May 129 40875447394 08884 073 May-15 676 825 1404 524

15-Jun -194 -66047202646 -62159 -171 Jun-15 663 771 1317 515

15-Jul 21 80060563143 34205 126 Jul-15 677 833 1362 522

15-Aug -603 -10026780942 -24342 -522 Aug-15 636 824 1329 494

15-Sep -247 36089130828 34355 -247 Sep-15 620 854 1374 482

15-Oct 844 -16993598229 -58073 637 Oct-15 673 839 1294 513

15-Nov 03 48441920313 30487 01 Nov-15 675 880 1334 513

15-Dec -158 11998205926 -10345 -173 Dec-15 664 891 1320 504

16-Jan -496 31480723033 48626 -453 Jan-16 631 919 1384 482

16-Feb -013 33572073647 44379 -002 Feb-16 630 950 1446 481

16-Mar 678 -61786855584 -39621 601 Mar-16 673 891 1388 510

16-Apr 039 -31282642584 09914 082 Apr-16 676 863 1402 515

16-May 18 -08911812015 -5253 107 May-16 688 855 1328 520

16-Jun 026 65324823204 94059 03 Jun-16 690 911 1453 522

16-Jul 369 21567955023 02767 348 Jul-16 715 931 1457 540

16-Aug 014 -15149 -44038 024 Aug-16 716 917 1393 541

16-Sep 002 10335 0967 025 Sep-16 716 926 1407 542

-41363


skew -04 02 01 -08

Kurt 198 469 -028 186




Background

























PlatformManager

RIA and Fiduciary





PlatformManager


















0 1 2 3 4 5 6 7 8 9 10



























































-30

-20

-10

0

10

20

30

40

Annu

al R

etur

ns -





CSMF IndexTM


$0

$2

$4

$6

$8

$10

$12

$14

$16









Annlzd Ret

Annlzd Risk

Sharpe Ratio

Annlzd Ret

Annlzd Risk

Sharpe Ratio

Annlzd Ret

Annlzd Risk

Sharpe Ratio

Annlzd Ret

Annlzd Risk

Sharpe Ratio


3 Years 139 145 10 130 156 08 79 90 09 112 108 105 Years 33 129 03 46 138 03 120 92 13 164 111 15

10 Years 58 163 03 79 144 05 62 124 04 72 153 0420 Years 98 141 05 117 147 06 71 121 04 79 154 04






SampP 500

Nov-07 - Feb-09

Mar-09 - Mar-12

113 127 -145


326 277 -309

121 143 -88

26

-2509 -277 -42163 21 16



Data



Performance Stats


Correlations

Annual Returns
















20 Year Correlation




































Appendix




MLM 3x Index

TrendCS MF Index


10 Total 1000 1000



306 -210








1970 1607 9491971 648 -5801972 278 12791973 9190 63231974 1458 51501975 -620 -20551976 851 14651977 374 15591978 -178 4531979 2107 31971980 -568 4861981 2839 18891982 1278 13801983 -1005 -11941984 1281 0881985 239 5561986 456 2281987 643 10851988 188 -10381989 809 0551990 657 3771991 -604 -7281992 -557 -12351993 481 14301994 549 -7851995 384 14781996 409 21071997 077 0061998 992 10741999 -564 -12982000 3782 0122001 043 0492002 -972 11652003 1191 39572004 992 0172005 456 1152006 -1329 24292007 -461 4192008 4324 42422009 -811 -3752010 1370 5092011 1740 -16162012 -1910 -22872013 -127 10762014 2995 28432015 1359 086

-4000

-2000

000

2000

4000

6000

8000

10000

1970

1971

1972

1973

1974

1975

1976

1977

1978

1979

1980

1981

1982

1983

1984

1985

1986

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015


$0

$500

$1000

$1500

$2000

$2500

Growth of $100
























Instruments Futures














o Gain = ($50-$43) x 1000 = $7000


































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Slide Number 19

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Slide Number 21

Slide Number 22

Slide Number 23

Slide Number 24

Slide Number 25

Slide Number 26

Slide Number 27

Slide Number 28

Slide Number 29

Slide Number 30

Slide Number 31

Slide Number 32

Slide Number 33

Slide Number 34

Slide Number 35

Slide Number 36

Slide Number 37


1995 0219 0228 0265 1995 0219 0313 0265

1996 0311 0264 0146 1996 0311 0364 0146

1997 0154 014 0219 1997 0154 0175 0219

1998 0406 0209 0197 1998 0406 0269 0197

1999 007 0066 0182 1999 007 0053 0182

2000 0211 0087 -0056 2000 0211 0097 -0056

2001 0004 007 -0088 2001 0004 008 -0088

2002 0151 0112 -0138 2002 0151 0133 -0138

2003 0226 0213 0247 2003 0226 0317 0247

2004 0146 0042 0114 2004 0146 005 0114

2005 005 0063 0069 2005 005 0074 0069

2006 -008 0188 0151 2006 -008 025 0151

2007 -0009 0095 0075 2007 -0009 0112 0075

2008 0379 023 -0307 2008 0379 0344 -0307

2009 -0097 0009 0239 2009 -0097 0012 0239

2010 0099 005 0135 2010 0099 0072 0135

2011 0134 -0048 0002 2011 0134 -0073 0002

2012 -0172 -008 0135 2012 -0172 -0119 0135

2013 -0028 0075 0228 2013 -0028 011 0228

2014 0253 0158 0091 2014 0253 0231 0091

2015 0091 0036 -0002 2015 0091 0042 -0002

Return 110 101 80 Return 110 131 80

StDev 153 93 146 StDev 153 134 146

Corr to 7030 -023 005 100 Corr to 7030 -023 004 100











20 Year Correlation

SampP 500 7030 MLM

7030 Portfolio 098





5 5 5 5 5 5 5 5












Correlation to date


5 5 5 5

SampP 500 Index 1 098 -027 -018

7030 Portfolio 098 1 -026 -016

MLM Index 3X -027 -026 1 066





1 Year 85 124 07 24 162 01 125 105 12 154 125 12

3 Years 139 145 10 130 156 08 79 90 09 112 108 10




1 Year 1543 1246 122 1252 1052 116 846 1244 066 24 162 01







01298 0156








1 Year 85 124 07 14 90 01 125 105 12

3 Years 139 145 10 90 103 09 79 90 09

5 Years 33 129 03 35 92 04 120 92 13

10 Years 58 163 03 58 97 05 62 124 04

20 Years 98 141 05 91 100 07 71 121 04



















Mar-73 009 NA NA NA



Jun-73 -04 NA NA NA

Jul-73 406 NA NA NA


Sep-73 427 NA NA NA

Oct-73 013 NA NA NA


Dec-73 196 NA NA NA










Oct-74 168 NA NA NA

Nov-74 -49 NA NA NA



Feb-75 639 NA NA NA

Mar-75 255 NA NA NA

Apr-75 509 NA NA NA

May-75 476 NA NA NA

Jun-75 477 NA NA NA




Oct-75 654 NA NA NA

Nov-75 281 NA NA NA




Mar-76 338 NA NA NA

Apr-76 -08 NA NA NA


Jun-76 441 NA NA NA

Jul-76 -05 NA NA NA

Aug-76 -02 NA NA NA

Sep-76 258 NA NA NA



Dec-76 558 NA NA NA




Apr-77 038 NA NA NA


Jun-77 493 NA NA NA



Sep-77 015 NA NA NA


Nov-77 312 NA NA NA

Dec-77 071 NA NA NA



Mar-78 297 NA NA NA

Apr-78 901 NA NA NA

May-78 086 NA NA NA


Jul-78 584 NA NA NA

Aug-78 302 NA NA NA



Nov-78 213 NA NA NA

Dec-78 194 NA NA NA

Jan-79 443 NA NA NA


Mar-79 598 NA NA NA

Apr-79 061 NA NA NA


Jun-79 434 NA NA NA

Jul-79 133 NA NA NA

Aug-79 576 NA NA NA

Sep-79 044 NA NA NA


Nov-79 472 NA NA NA

Dec-79 22 NA NA NA

Jan-80 621 NA NA NA



Apr-80 462 NA NA NA

May-80 515 NA NA NA

Jun-80 316 NA NA NA

Jul-80 696 NA NA NA

Aug-80 101 NA NA NA

Sep-80 294 NA NA NA

Oct-80 202 NA NA NA



Jan-81 -42 NA NA NA

Feb-81 172 NA NA NA

Mar-81 399 NA NA NA


May-81 025 NA NA NA


Jul-81 021 NA NA NA



Oct-81 54 NA NA NA

Nov-81 412 NA NA NA


Jan-82 -13 NA NA NA



Apr-82 452 NA NA NA


Jun-82 -15 NA NA NA



Sep-82 124 NA NA NA


Nov-82 404 NA NA NA

Dec-82 193 NA NA NA

Jan-83 372 NA NA NA

Feb-83 229 NA NA NA

Mar-83 369 NA NA NA

Apr-83 788 NA NA NA


Jun-83 389 NA NA NA


Aug-83 15 NA NA NA

Sep-83 138 NA NA NA


Nov-83 211 NA NA NA




Mar-84 173 NA NA NA

Apr-84 092 NA NA NA


Jun-84 214 NA NA NA



Sep-84 002 NA NA NA

Oct-84 038 NA NA NA


Dec-84 264 NA NA NA

Jan-85 779 NA NA NA

Feb-85 123 NA NA NA

Mar-85 006 NA NA NA


May-85 578 NA NA NA

Jun-85 157 NA NA NA




Oct-85 462 NA NA NA

Nov-85 686 NA NA NA

Dec-85 484 NA NA NA

Jan-86 056 NA NA NA

Feb-86 747 NA NA NA

Mar-86 558 NA NA NA


May-86 532 NA NA NA

Jun-86 169 NA NA NA


Aug-86 741 NA NA NA


Oct-86 577 NA NA NA

Nov-86 243 NA NA NA



Feb-87 395 NA NA NA

Mar-87 289 NA NA NA


May-87 087 NA NA NA

Jun-87 505 NA NA NA

Jul-87 507 NA NA NA

Aug-87 373 NA NA NA




Dec-87 761 NA NA NA

Jan-88 421 NA NA 349

Feb-88 466 NA NA 436

Mar-88 -309 NA NA 036

Apr-88 11 NA NA 066

May-88 086 NA NA -09

Jun-88 458 NA NA 252

Jul-88 -038 NA NA 02

Aug-88 -34 NA NA -286

Sep-88 425 NA NA 359

Oct-88 282 NA NA 344

Nov-88 -143 NA NA 034

Dec-88 174 NA NA 116

Jan-89 731 NA NA 398

Feb-89 -248 NA NA -089

Mar-89 232 NA NA 07

Apr-89 52 NA NA 323

May-89 405 NA NA 14

Jun-89 -057 NA NA 004

Jul-89 903 NA NA 742

Aug-89 195 NA NA -04

Sep-89 -041 NA NA 113

Oct-89 -232 NA NA -171

Nov-89 204 NA NA 23

Dec-89 24 NA NA 194

Jan-90 -671 NA NA -478

Feb-90 13 NA NA -08

Mar-90 264 NA NA -117

Apr-90 -249 NA NA -177

May-90 975 NA NA 786

Jun-90 -067 NA NA -001

Jul-90 -032 NA NA 019

Aug-90 -904 NA NA -722

Sep-90 -487 NA NA -53

Oct-90 -043 NA NA 295

Nov-90 646 NA NA 26

Dec-90 279 NA NA 235

Jan-91 435 NA NA 348

Feb-91 715 NA NA 62

Mar-91 242 NA NA 049

Apr-91 024 NA NA 058

May-91 431 NA NA 257

Jun-91 -458 NA NA -379

Jul-91 466 NA NA 377

Aug-91 237 NA NA 166

Sep-91 -167 NA NA 095

Oct-91 134 NA NA 152

Nov-91 -403 NA NA -26

Dec-91 1144 NA NA 76

Jan-92 -186 -50186134107 NA -101

Feb-92 13 -11806985257 NA 03

Mar-92 -194 -34682100213 NA -245

Apr-92 294 04856690806 NA 135

May-92 049 36691977834 NA 196

Jun-92 -149 3995994645 NA -144

Jul-92 409 58382478439 NA 241

Aug-92 -205 21392596519 NA 003

Sep-92 118 -10417441781 NA 069

Oct-92 035 -11426309261 NA -063

Nov-92 34 -24243841368 NA 231

Dec-92 123 03309287484 NA 157

Jan-93 084 12125566229 NA 109

Feb-93 136 59842293696 NA 136

Mar-93 211 -06484088187 NA 282

Apr-93 -242 09183032136 NA 027

May-93 268 -00124707027 NA 196

Jun-93 029 75565231659 NA 064

Jul-93 -04 34694235802 NA 068

Aug-93 379 26998187389 NA 356

Sep-93 -077 -35544940483 NA -032

Oct-93 207 12906000348 NA 154

Nov-93 -095 39231376084 NA -251

Dec-93 121 23140907663 NA 262

Jan-94 34 -16392143954 NA 357

Feb-94 -271 -5375365439 NA -19

Mar-94 -436 -17526970615 NA -389

Apr-94 128 -31042584129 NA 106

May-94 164 21687630069 NA 058

Jun-94 -245 -02802505425 NA -136

Jul-94 328 -09170406074 NA 249

Aug-94 41 03148132864 NA 3

Sep-94 -245 49091708791 NA -203

Oct-94 225 33710507687 NA 14


Dec-94 148 11635880505 NA 095 Dec-94 100 100 100 100

Jan-95 259 1488846469 18462 078 Jan-95 103 101 102 101

Feb-95 39 18245801927 -04746 274 Feb-95 107 103 101 104

Mar-95 295 37741988604 70854 257 Mar-95 110 107 109 106

Apr-95 294 20196669281 31179 254 Apr-95 113 109 112 109

May-95 4 4438151788 78944 291 May-95 117 114 121 112

Jun-95 232 15287989065 -04753 152 Jun-95 120 116 120 114

Jul-95 332 -14769041128 -2252 32 Jul-95 124 114 117 117

Aug-95 025 -36439459991 -31269 016 Aug-95 125 110 114 118

Sep-95 422 05926567612 39491 274 Sep-95 130 111 118 121

Oct-95 -036 2635846499 25163 -064 Oct-95 129 114 121 120

Nov-95 439 27162162082 33589 332 Nov-95 135 117 125 124

Dec-95 193 4331305919 47021 198 Dec-95 138 122 131 126

Jan-96 34 19634168588 54269 207 Jan-96 142 124 138 129

Feb-96 093 -13857157749 -37777 042 Feb-96 144 123 133 130

Mar-96 096 3570816298 36706 074 Mar-96 145 127 138 131

Apr-96 147 47035792726 48573 151 Apr-96 147 133 145 133

May-96 258 04897246276 -23907 119 May-96 151 134 141 134

Jun-96 038 04231657395 28546 021 Jun-96 151 134 145 134

Jul-96 -442 -32825387444 -5322 -362 Jul-96 145 130 138 130

Aug-96 211 50232432929 29044 183 Aug-96 148 136 142 132

Sep-96 563 54206924649 82056 405 Sep-96 156 144 153 137

Oct-96 276 51159466491 83507 144 Oct-96 160 151 166 139

Nov-96 756 43728165918 864 527 Nov-96 173 158 180 147

Dec-96 -198 14093703517 -07113 -113 Dec-96 169 160 179 145

Jan-97 625 17011191838 -16167 314 Jan-97 180 162 176 150

Feb-97 078 -17477703643 -15622 041 Feb-97 181 160 173 150

Mar-97 -411 -0910181567 12022 -309 Mar-97 174 158 175 145

Apr-97 597 09232176853 15126 349 Apr-97 184 160 178 151

May-97 609 -06805906276 09263 543 May-97 195 159 180 159

Jun-97 448 14017438969 -08095 375 Jun-97 204 161 178 165

Jul-97 796 41579104051 60499 584 Jul-97 220 167 189 174

Aug-97 -56 -24491709033 -58848 -401 Aug-97 208 163 178 167

Sep-97 548 23206853381 65934 476 Sep-97 219 167 190 175

Oct-97 -334 3155194786 26194 -317 Oct-97 212 172 195 170

Nov-97 463 1734137994 34076 24 Nov-97 222 175 201 174

Dec-97 172 50839377232 45191 168 Dec-97 226 184 210 177

Jan-98 111 -0540706989 01984 101 Jan-98 228 183 211 178

Feb-98 721 40902523842 09547 561 Feb-98 245 191 213 189

Mar-98 512 4564059454 36725 385 Mar-98 257 200 221 196

Apr-98 101 10197007162 2729 086 Apr-98 260 202 227 197

May-98 -172 66464318242 49967 -174 May-98 255 215 238 194

Jun-98 406 14535097859 12227 237 Jun-98 266 218 241 199

Jul-98 -106 79600070571 25845 -106 143 Jul-98 263 235 247 197

Aug-98 -1446 85969949752 100188 -1191 Aug-98 225 256 272 173

Sep-98 641 -43471273323 13057 462 Sep-98 239 245 275 181

Oct-98 813 -21914686666 -48215 62 Oct-98 259 239 262 192

Nov-98 606 35427775078 -16838 49 Nov-98 274 248 258 202

Dec-98 576 46223079694 36184 48 Dec-98 290 259 267 211

Jan-99 418 11652083769 -13599 243 Jan-99 302 262 263 217

Feb-99 -311 08705260303 -29127 -306 Feb-99 293 264 256 210

Mar-99 4 -66775958823 -24295 326 Mar-99 305 247 250 217

Apr-99 387 22077437514 51823 383 Apr-99 316 252 263 225

May-99 -236 05593377297 -19638 -207 May-99 309 254 257 220

Jun-99 555 0821055256 43706 406 Jun-99 326 256 269 229

Jul-99 -312 -05417097185 00435 -19 Jul-99 316 254 269 225

Aug-99 -049 12651757883 01021 -075 Aug-99 314 258 269 223

Sep-99 -274 24672781685 05889 -147 Sep-99 306 264 271 220

Oct-99 633 -17330628613 -47866 486 Oct-99 325 259 258 231

Nov-99 203 37710155755 29817 248 Nov-99 332 269 265 236

Dec-99 589 30182108515 60293 568 Dec-99 351 277 281 250

Jan-00 -502 24897212667 -25282 -359 Jan-00 334 284 274 241

Feb-00 -189 -05713037029 10256 122 Feb-00 327 283 277 244

Mar-00 978 -24716293218 -3378 621 Mar-00 359 276 268 259

Apr-00 -301 03990582414 -22613 -331 1573 Apr-00 348 277 262 250

May-00 -205 24192880579 0877 -232 May-00 341 283 264 245

Jun-00 247 0878887186 -34187 3 Jun-00 350 286 255 252

Jul-00 -156 24260079771 12301 -165 Jul-00 344 293 258 248

Aug-00 621 75396102385 45179 559 Aug-00 366 315 270 262

Sep-00 -528 09222855204 04031 -385 Sep-00 346 318 271 252

Oct-00 -042 299852918 44133 -131 Oct-00 345 327 283 248

Nov-00 -788 5315579778 110553 -68 Nov-00 318 345 314 231

Dec-00 049 -25942802121 -17463 193 Dec-00 319 336 308 236

1-Jan 355 -00863561154 -04261 284 Jan-01 331 335 307 243

1-Feb -912 16209515233 74179 -716 Feb-01 300 341 330 225

1-Mar -633 48299554873 94097 -52 Mar-01 281 357 361 213

1-Apr 777 -43323517245 -65179 61 Apr-01 303 342 337 227

1-May 067 24991627761 11086 031 May-01 305 350 341 227

1-Jun -243 -01569851257 00543 -165 Jun-01 298 350 341 223

1-Jul -098 -21829671963 -05079 -093 Jul-01 295 342 340 221

1-Aug -626 -26070979092 17884 -404 Aug-01 276 333 346 212

1-Sep -808 10636654952 60561 -685 Sep-01 254 337 367 198

1-Oct 191 09408124501 22528 233 Oct-01 259 340 375 203

1-Nov 767 -16137664028 -837 519 Nov-01 279 334 344 213

1-Dec 088 07970479005 -2992 094 Dec-01 281 337 333 215

2-Jan -146 01132698972 -26759 -115 Jan-02 277 338 324 213

2-Feb -193 -02410246265 -26221 -106 Feb-02 272 337 316 210

2-Mar 376 -64656658879 -37678 312 Mar-02 282 315 304 217

2-Apr -606 01559405489 -06737 -3 Apr-02 265 315 302 210

2-May -074 19425675286 49554 -043 May-02 263 322 317 209

2-Jun -712 46154392532 59609 -498 Jun-02 244 336 336 199

2-Jul -78 -09755577412 44704 -592 Jul-02 225 333 351 187

2-Aug 066 36669673432 29178 074 Aug-02 227 345 361 189

2-Sep -1087 42995914132 68228 -728 Sep-02 202 360 386 175

2-Oct 88 -18586716944 -39428 521 Oct-02 220 354 370 184

2-Nov 589 -06691963741 -43217 423 Nov-02 233 351 354 192

2-Dec -587 10504712371 65168 -333 Dec-02 219 388 377 185

3-Jan -262 79413180181 78029 -186 Jan-03 213 419 407 182

3-Feb -15 5839796145 24675 -082 Feb-03 210 443 417 180

3-Mar 097 -4822187841 -49263 039 Mar-03 212 422 396 181

3-Apr 824 08044165566 01717 619 Apr-03 230 425 397 192

3-May 527 86017617168 75621 492 May-03 242 462 427 202

3-Jun 128 -16232843116 -23723 11 Jun-03 245 454 417 204

3-Jul 176 -58470688666 -38819 084 Jul-03 249 428 401 206

3-Aug 195 -01285241001 24459 191 Aug-03 254 427 411 210

3-Sep -106 62607424571 26964 031 Sep-03 251 454 422 210

3-Oct 566 09634730462 79884 431 Oct-03 266 458 455 219

3-Nov 088 23264834944 02951 12 Nov-03 268 469 457 222

3-Dec 524 14110879536 8856 41 Dec-03 282 476 497 231

4-Jan 184 19478633231 26613 172 Jan-04 287 485 510 235

4-Feb 139 52879779623 57235 144 Feb-04 291 511 540 239

4-Mar -151 2268957551 -03792 -05 Mar-04 287 522 538 237

4-Apr -157 -56830338449 -105019 -233 Apr-04 282 493 481 232

4-May 137 -16566072328 -32214 087 May-04 286 484 466 234

4-Jun 194 -17215338796 -23435 168 Jun-04 292 476 455 238

4-Jul -331 -06069797015 -19673 -258 Jul-04 282 473 446 232

4-Aug 04 -05707405134 -31134 082 Aug-04 283 470 432 234

4-Sep 108 70162697766 75979 145 Sep-04 286 503 465 237

4-Oct 153 34033420009 3203 17 Oct-04 291 521 480 241

4-Nov 405 45583596598 79681 368 Nov-04 302 544 518 250

4-Dec 34 01240939032 07905 307 Dec-04 313 545 522 257

5-Jan -244 16755564551 -35158 -181 Jan-05 305 554 504 253

5-Feb 21 -20025648058 07235 196 Feb-05 311 543 507 258

5-Mar -177 -10751895082 -32131 -158 Mar-05 306 537 491 254

5-Apr -19 -2390258099 -3307 -143 Apr-05 300 524 475 250

5-May 318 08685813036 14103 272 May-05 310 529 481 257

5-Jun 014 2223478206 2443 083 Jun-05 310 541 493 259

5-Jul 372 -21671781188 16173 293 Jul-05 322 529 501 267

5-Aug -091 49286219575 23044 002 Aug-05 319 555 513 267

5-Sep 081 37034231946 44919 108 Sep-05 321 576 536 270

5-Oct -167 -41709576663 -50465 -191 Oct-05 316 552 509 264

5-Nov 378 22186228209 731 307 Nov-05 328 564 546 272

5-Dec 003 15087373486 26914 097 Dec-05 328 572 561 275

6-Jan 265 05184116785 49735 32 Jan-06 337 575 588 284

6-Feb 027 -12693666599 -08661 013 Feb-06 338 568 583 284

6-Mar 125 20763323239 66529 136 Mar-06 342 580 622 288

6-Apr 134 -11401031738 110633 149 Apr-06 346 573 691 292

6-May -288 -38328436628 -15079 -283 May-06 336 551 681 284

6-Jun 014 -17992981531 -41286 014 Jun-06 337 541 652 285

6-Jul 062 -32543371611 -14002 038 Jul-06 339 524 643 286

6-Aug 238 -01076272465 29098 232 Aug-06 347 523 662 292

6-Sep 258 07974403785 -03827 16 Sep-06 356 527 659 297

6-Oct 326 -29512764216 -00218 309 Oct-06 368 512 659 306

6-Nov 19 03172013357 58364 222 Nov-06 375 513 698 313

6-Dec 14 25165243518 03787 117 Dec-06 380 526 700 317

7-Jan 151 -10891073316 07036 127 Jan-07 386 520 705 321

7-Feb -196 -0242828355 -13437 -066 Feb-07 378 519 696 318

7-Mar 112 -24787732727 -10187 115 Mar-07 382 506 689 322

7-Apr 443 02879881174 68079 345 Apr-07 399 508 736 333

7-May 349 04724656451 33768 267 May-07 413 510 761 342

7-Jun -166 06726351642 29473 -111 Jun-07 406 514 783 338

7-Jul -31 -10308231752 -62002 -209 Jul-07 394 508 734 331

7-Aug 15 -48378452877 -4152 085 Aug-07 400 484 704 334

7-Sep 374 50760632525 70341 364 Sep-07 415 508 753 346

7-Oct 159 36478459472 64209 235 2672 Oct-07 421 527 802 354

7-Nov -418 -09519733939 -29049 -338 Nov-07 404 522 779 342

7-Dec -069 -00407441673 00631 -06 Dec-07 401 522 779 340

8-Jan -6 38885050267 87377 -527 Jan-08 377 542 847 322

8-Feb -325 79938792923 97517 -138 Feb-08 364 585 930 318

8-Mar -043 -01164410281 -17484 -069 Mar-08 363 585 913 316

8-Apr 487 -11768609649 -73215 412 Apr-08 381 578 847 329

8-May 13 26727320318 02045 143 May-08 385 593 848 334

8-Jun -843 38796643349 38908 -664 Jun-08 353 616 881 311

8-Jul -084 -111000927524 -63133 -116 Jul-08 350 548 826 308

8-Aug 145 -81389596386 09693 032 Aug-08 355 503 834 309

8-Sep -891 2350077992 4926 -863 Sep-08 323 515 875 282

8-Oct -1679 231353875038 118043 -1488 Oct-08 269 634 978 240

8-Nov -718 91409930423 52566 -464 Nov-08 250 692 1029 229

8-Dec 106 39012647249 17001 298 Dec-08 252 719 1047 236

9-Jan -843 36085657209 -01782 -629 Jan-09 231 745 1045 221

9-Feb -1065 17480110926 0841 -723 Feb-09 207 758 1054 205

9-Mar 876 -40891209192 -17399 626 Mar-09 225 727 1035 218

9-Apr 957 -52452980511 -24793 785 Apr-09 246 689 1010 235

9-May 559 -175764056892 24393 525 May-09 260 568 1034 247

9-Jun 02 26344903362 -3873 018 Jun-09 260 583 994 248

9-Jul 756 29911557926 15775 638 Jul-09 280 600 1010 264

9-Aug 361 66647387555 02737 292 Aug-09 290 640 1013 271

9-Sep 373 19908108013 31657 353 Sep-09 301 653 1045 281

9-Oct -186 -1135758063 -18836 -156 Oct-09 295 646 1025 276

9-Nov 6 429598654 65618 406 Nov-09 313 673 1092 288

9-Dec 193 -3538041182 -30108 161 Dec-09 319 649 1060 292

10-Jan -36 -22840646395 -587 -256 Jan-10 308 635 997 285

10-Feb 31 13842186803 10589 206 Feb-10 317 643 1008 291

10-Mar 603 38205356429 32922 477 Mar-10 336 668 1041 304

10-Apr 158 14253968325 03791 14 Apr-10 342 678 1045 309

10-May -799 -05569215148 17471 -621 May-10 314 674 1063 290

10-Jun -523 -23229482293 07896 -318 Jun-10 298 658 1072 280

10-Jul 701 -52850060701 -35575 569 Jul-10 319 623 1034 296

10-Aug -451 76993453056 43121 -284 Aug-10 305 671 1078 288

10-Sep 892 05035470246 12552 702 Sep-10 332 675 1092 308

10-Oct 38 35726262618 52271 293 Oct-10 344 699 1149 317

10-Nov 001 -46572458071 -67101 -044 Nov-10 344 666 1072 316

10-Dec 668 71205616987 60114 502 Dec-10 367 714 1136 332

11-Jan 237 14260916813 02413 151 Jan-11 376 724 1139 337

11-Feb 343 -08196213636 14822 271 Feb-11 389 718 1156 346

11-Mar 004 -25144800567 -53504 026 Mar-11 389 700 1094 347

11-Apr 296 51621261523 44419 292 Apr-11 401 736 1142 357

11-May -113 -18535770592 -51957 -088 May-11 396 722 1083 354

11-Jun -167 08676483656 -46402 -14 Jun-11 389 729 1033 349

11-Jul -203 93387304437 48149 -126 Jul-11 382 797 1083 344

11-Aug -543 3189583693 00543 -469 Aug-11 361 822 1083 328

11-Sep -703 -41599527992 34989 -619 Sep-11 335 788 1121 308

11-Oct 1093 -13852548076 -6243 834 Oct-11 372 777 1051 333

11-Nov -022 39284953285 -00578 -096 Nov-11 371 808 1050 330

11-Dec 102 01889893545 02082 061 Dec-11 375 809 1053 332

12-Jan 448 -01521632453 -04526 426 Jan-12 392 808 1048 346

12-Feb 432 -22430032837 14221 342 Feb-12 409 790 1063 358

12-Mar 329 -12258940456 -21399 158 Mar-12 422 780 1040 364

12-Apr -063 13756177692 -18216 -038 Apr-12 420 791 1021 363

12-May -601 43616823461 38067 -528 May-12 394 825 1060 343

12-Jun 412 -61107318666 -83896 324 Jun-12 411 775 971 355

12-Jul 139 -2662867044 20145 115 Jul-12 416 754 991 359

12-Aug 225 -29540623033 -22929 186 Aug-12 426 732 968 365

12-Sep 258 -47724948882 -20234 22 Sep-12 437 697 948 373

12-Oct -185 -18050840884 -36659 -098 Oct-12 429 684 914 370

12-Nov 058 -03984415062 -0944 079 Nov-12 431 682 905 373

12-Dec 091 -17220762656 24366 124 Dec-12 435 670 927 377

13-Jan 518 -04335912154 32593 387 Jan-13 458 667 957 392

13-Feb 136 -29598734504 01523 08 Feb-13 464 647 959 395

13-Mar 375 -04786782014 2166 255 Mar-13 481 644 979 405

13-Apr 193 11854540053 29259 181 Apr-13 490 652 1008 412

13-May 234 -43222576245 -06784 082 May-13 502 624 1001 416

13-Jun -134 06875789801 10553 -177 Jun-13 495 628 1012 408

13-Jul 509 06412005306 -19554 423 Jul-13 520 632 992 426

13-Aug -29 11512128942 -11474 -214 Aug-13 505 639 981 417

13-Sep 314 -19925877399 -05148 361 Sep-13 521 626 976 432

13-Oct 46 -07538953205 -06933 349 Oct-13 545 622 969 447

13-Nov 305 27584740935 46402 189 Nov-13 562 639 1014 455

13-Dec 253 19377872096 15067 18 Dec-13 576 651 1029 463

14-Jan -346 -08961192857 -51141 -251 Jan-14 556 645 976 452

14-Feb 457 -00139276726 -05865 399 Feb-14 581 645 971 470

14-Mar 084 -34260446582 -18865 037 Mar-14 586 623 952 471

14-Apr 074 22210329784 03199 043 Apr-14 591 637 955 473

14-May 235 -07288421342 07134 197 May-14 605 632 962 483

14-Jun 207 05841054246 00135 195 Jun-14 617 636 962 492

14-Jul -138 -00888949644 03097 -153 Jul-14 609 636 965 485

14-Aug 4 18791535569 48657 313 Aug-14 633 648 1012 500

14-Sep -14 69028951277 63915 -221 Sep-14 624 692 1077 489

14-Oct 244 21563513841 15927 194 Oct-14 639 707 1094 498




15-Feb 575 -50846010492 -16603 45 Feb-15 672 817 1387 520

15-Mar -158 65245129876 57568 -083 Mar-15 661 870 1467 516

15-Apr 096 -88441663253 -51219 09 Apr-15 667 793 1392 520

15-May 129 40875447394 08884 073 May-15 676 825 1404 524

15-Jun -194 -66047202646 -62159 -171 Jun-15 663 771 1317 515

15-Jul 21 80060563143 34205 126 Jul-15 677 833 1362 522

15-Aug -603 -10026780942 -24342 -522 Aug-15 636 824 1329 494

15-Sep -247 36089130828 34355 -247 Sep-15 620 854 1374 482

15-Oct 844 -16993598229 -58073 637 Oct-15 673 839 1294 513

15-Nov 03 48441920313 30487 01 Nov-15 675 880 1334 513

15-Dec -158 11998205926 -10345 -173 Dec-15 664 891 1320 504

16-Jan -496 31480723033 48626 -453 Jan-16 631 919 1384 482

16-Feb -013 33572073647 44379 -002 Feb-16 630 950 1446 481

16-Mar 678 -61786855584 -39621 601 Mar-16 673 891 1388 510

16-Apr 039 -31282642584 09914 082 Apr-16 676 863 1402 515

16-May 18 -08911812015 -5253 107 May-16 688 855 1328 520

16-Jun 026 65324823204 94059 03 Jun-16 690 911 1453 522

16-Jul 369 21567955023 02767 348 Jul-16 715 931 1457 540

16-Aug 014 -15149 -44038 024 Aug-16 716 917 1393 541

16-Sep 002 10335 0967 025 Sep-16 716 926 1407 542

-41363


skew -04 02 01 -08

Kurt 198 469 -028 186




















PlatformManager

RIA and Fiduciary





PlatformManager


















0 1 2 3 4 5 6 7 8 9 10



























































-30

-20

-10

0

10

20

30

40

Annu

al R

etur

ns -





CSMF IndexTM


$0

$2

$4

$6

$8

$10

$12

$14

$16









Annlzd Ret

Annlzd Risk

Sharpe Ratio

Annlzd Ret

Annlzd Risk

Sharpe Ratio

Annlzd Ret

Annlzd Risk

Sharpe Ratio

Annlzd Ret

Annlzd Risk

Sharpe Ratio


3 Years 139 145 10 130 156 08 79 90 09 112 108 105 Years 33 129 03 46 138 03 120 92 13 164 111 15

10 Years 58 163 03 79 144 05 62 124 04 72 153 0420 Years 98 141 05 117 147 06 71 121 04 79 154 04






SampP 500

Nov-07 - Feb-09

Mar-09 - Mar-12

113 127 -145


326 277 -309

121 143 -88

26

-2509 -277 -42163 21 16



Data



Performance Stats


Correlations

Annual Returns
















20 Year Correlation




































Appendix




MLM 3x Index

TrendCS MF Index


10 Total 1000 1000



306 -210








1970 1607 9491971 648 -5801972 278 12791973 9190 63231974 1458 51501975 -620 -20551976 851 14651977 374 15591978 -178 4531979 2107 31971980 -568 4861981 2839 18891982 1278 13801983 -1005 -11941984 1281 0881985 239 5561986 456 2281987 643 10851988 188 -10381989 809 0551990 657 3771991 -604 -7281992 -557 -12351993 481 14301994 549 -7851995 384 14781996 409 21071997 077 0061998 992 10741999 -564 -12982000 3782 0122001 043 0492002 -972 11652003 1191 39572004 992 0172005 456 1152006 -1329 24292007 -461 4192008 4324 42422009 -811 -3752010 1370 5092011 1740 -16162012 -1910 -22872013 -127 10762014 2995 28432015 1359 086

-4000

-2000

000

2000

4000

6000

8000

10000

1970

1971

1972

1973

1974

1975

1976

1977

1978

1979

1980

1981

1982

1983

1984

1985

1986

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015


$0

$500

$1000

$1500

$2000

$2500

Growth of $100
























Instruments Futures














o Gain = ($50-$43) x 1000 = $7000


































Slide Number 1

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Slide Number 29

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Slide Number 31

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Slide Number 33

Slide Number 34

Slide Number 35

Slide Number 36

Slide Number 37


1995 0219 0228 0265 1995 0219 0313 0265

1996 0311 0264 0146 1996 0311 0364 0146

1997 0154 014 0219 1997 0154 0175 0219

1998 0406 0209 0197 1998 0406 0269 0197

1999 007 0066 0182 1999 007 0053 0182

2000 0211 0087 -0056 2000 0211 0097 -0056

2001 0004 007 -0088 2001 0004 008 -0088

2002 0151 0112 -0138 2002 0151 0133 -0138

2003 0226 0213 0247 2003 0226 0317 0247

2004 0146 0042 0114 2004 0146 005 0114

2005 005 0063 0069 2005 005 0074 0069

2006 -008 0188 0151 2006 -008 025 0151

2007 -0009 0095 0075 2007 -0009 0112 0075

2008 0379 023 -0307 2008 0379 0344 -0307

2009 -0097 0009 0239 2009 -0097 0012 0239

2010 0099 005 0135 2010 0099 0072 0135

2011 0134 -0048 0002 2011 0134 -0073 0002

2012 -0172 -008 0135 2012 -0172 -0119 0135

2013 -0028 0075 0228 2013 -0028 011 0228

2014 0253 0158 0091 2014 0253 0231 0091

2015 0091 0036 -0002 2015 0091 0042 -0002

Return 110 101 80 Return 110 131 80

StDev 153 93 146 StDev 153 134 146

Corr to 7030 -023 005 100 Corr to 7030 -023 004 100











20 Year Correlation

SampP 500 7030 MLM

7030 Portfolio 098





5 5 5 5 5 5 5 5












Correlation to date


5 5 5 5

SampP 500 Index 1 098 -027 -018

7030 Portfolio 098 1 -026 -016

MLM Index 3X -027 -026 1 066





1 Year 85 124 07 24 162 01 125 105 12 154 125 12

3 Years 139 145 10 130 156 08 79 90 09 112 108 10




1 Year 1543 1246 122 1252 1052 116 846 1244 066 24 162 01







01298 0156








1 Year 85 124 07 14 90 01 125 105 12

3 Years 139 145 10 90 103 09 79 90 09

5 Years 33 129 03 35 92 04 120 92 13

10 Years 58 163 03 58 97 05 62 124 04

20 Years 98 141 05 91 100 07 71 121 04



















Mar-73 009 NA NA NA



Jun-73 -04 NA NA NA

Jul-73 406 NA NA NA


Sep-73 427 NA NA NA

Oct-73 013 NA NA NA


Dec-73 196 NA NA NA










Oct-74 168 NA NA NA

Nov-74 -49 NA NA NA



Feb-75 639 NA NA NA

Mar-75 255 NA NA NA

Apr-75 509 NA NA NA

May-75 476 NA NA NA

Jun-75 477 NA NA NA




Oct-75 654 NA NA NA

Nov-75 281 NA NA NA




Mar-76 338 NA NA NA

Apr-76 -08 NA NA NA


Jun-76 441 NA NA NA

Jul-76 -05 NA NA NA

Aug-76 -02 NA NA NA

Sep-76 258 NA NA NA



Dec-76 558 NA NA NA




Apr-77 038 NA NA NA


Jun-77 493 NA NA NA



Sep-77 015 NA NA NA


Nov-77 312 NA NA NA

Dec-77 071 NA NA NA



Mar-78 297 NA NA NA

Apr-78 901 NA NA NA

May-78 086 NA NA NA


Jul-78 584 NA NA NA

Aug-78 302 NA NA NA



Nov-78 213 NA NA NA

Dec-78 194 NA NA NA

Jan-79 443 NA NA NA


Mar-79 598 NA NA NA

Apr-79 061 NA NA NA


Jun-79 434 NA NA NA

Jul-79 133 NA NA NA

Aug-79 576 NA NA NA

Sep-79 044 NA NA NA


Nov-79 472 NA NA NA

Dec-79 22 NA NA NA

Jan-80 621 NA NA NA



Apr-80 462 NA NA NA

May-80 515 NA NA NA

Jun-80 316 NA NA NA

Jul-80 696 NA NA NA

Aug-80 101 NA NA NA

Sep-80 294 NA NA NA

Oct-80 202 NA NA NA



Jan-81 -42 NA NA NA

Feb-81 172 NA NA NA

Mar-81 399 NA NA NA


May-81 025 NA NA NA


Jul-81 021 NA NA NA



Oct-81 54 NA NA NA

Nov-81 412 NA NA NA


Jan-82 -13 NA NA NA



Apr-82 452 NA NA NA


Jun-82 -15 NA NA NA



Sep-82 124 NA NA NA


Nov-82 404 NA NA NA

Dec-82 193 NA NA NA

Jan-83 372 NA NA NA

Feb-83 229 NA NA NA

Mar-83 369 NA NA NA

Apr-83 788 NA NA NA


Jun-83 389 NA NA NA


Aug-83 15 NA NA NA

Sep-83 138 NA NA NA


Nov-83 211 NA NA NA




Mar-84 173 NA NA NA

Apr-84 092 NA NA NA


Jun-84 214 NA NA NA



Sep-84 002 NA NA NA

Oct-84 038 NA NA NA


Dec-84 264 NA NA NA

Jan-85 779 NA NA NA

Feb-85 123 NA NA NA

Mar-85 006 NA NA NA


May-85 578 NA NA NA

Jun-85 157 NA NA NA




Oct-85 462 NA NA NA

Nov-85 686 NA NA NA

Dec-85 484 NA NA NA

Jan-86 056 NA NA NA

Feb-86 747 NA NA NA

Mar-86 558 NA NA NA


May-86 532 NA NA NA

Jun-86 169 NA NA NA


Aug-86 741 NA NA NA


Oct-86 577 NA NA NA

Nov-86 243 NA NA NA



Feb-87 395 NA NA NA

Mar-87 289 NA NA NA


May-87 087 NA NA NA

Jun-87 505 NA NA NA

Jul-87 507 NA NA NA

Aug-87 373 NA NA NA




Dec-87 761 NA NA NA

Jan-88 421 NA NA 349

Feb-88 466 NA NA 436

Mar-88 -309 NA NA 036

Apr-88 11 NA NA 066

May-88 086 NA NA -09

Jun-88 458 NA NA 252

Jul-88 -038 NA NA 02

Aug-88 -34 NA NA -286

Sep-88 425 NA NA 359

Oct-88 282 NA NA 344

Nov-88 -143 NA NA 034

Dec-88 174 NA NA 116

Jan-89 731 NA NA 398

Feb-89 -248 NA NA -089

Mar-89 232 NA NA 07

Apr-89 52 NA NA 323

May-89 405 NA NA 14

Jun-89 -057 NA NA 004

Jul-89 903 NA NA 742

Aug-89 195 NA NA -04

Sep-89 -041 NA NA 113

Oct-89 -232 NA NA -171

Nov-89 204 NA NA 23

Dec-89 24 NA NA 194

Jan-90 -671 NA NA -478

Feb-90 13 NA NA -08

Mar-90 264 NA NA -117

Apr-90 -249 NA NA -177

May-90 975 NA NA 786

Jun-90 -067 NA NA -001

Jul-90 -032 NA NA 019

Aug-90 -904 NA NA -722

Sep-90 -487 NA NA -53

Oct-90 -043 NA NA 295

Nov-90 646 NA NA 26

Dec-90 279 NA NA 235

Jan-91 435 NA NA 348

Feb-91 715 NA NA 62

Mar-91 242 NA NA 049

Apr-91 024 NA NA 058

May-91 431 NA NA 257

Jun-91 -458 NA NA -379

Jul-91 466 NA NA 377

Aug-91 237 NA NA 166

Sep-91 -167 NA NA 095

Oct-91 134 NA NA 152

Nov-91 -403 NA NA -26

Dec-91 1144 NA NA 76

Jan-92 -186 -50186134107 NA -101

Feb-92 13 -11806985257 NA 03

Mar-92 -194 -34682100213 NA -245

Apr-92 294 04856690806 NA 135

May-92 049 36691977834 NA 196

Jun-92 -149 3995994645 NA -144

Jul-92 409 58382478439 NA 241

Aug-92 -205 21392596519 NA 003

Sep-92 118 -10417441781 NA 069

Oct-92 035 -11426309261 NA -063

Nov-92 34 -24243841368 NA 231

Dec-92 123 03309287484 NA 157

Jan-93 084 12125566229 NA 109

Feb-93 136 59842293696 NA 136

Mar-93 211 -06484088187 NA 282

Apr-93 -242 09183032136 NA 027

May-93 268 -00124707027 NA 196

Jun-93 029 75565231659 NA 064

Jul-93 -04 34694235802 NA 068

Aug-93 379 26998187389 NA 356

Sep-93 -077 -35544940483 NA -032

Oct-93 207 12906000348 NA 154

Nov-93 -095 39231376084 NA -251

Dec-93 121 23140907663 NA 262

Jan-94 34 -16392143954 NA 357

Feb-94 -271 -5375365439 NA -19

Mar-94 -436 -17526970615 NA -389

Apr-94 128 -31042584129 NA 106

May-94 164 21687630069 NA 058

Jun-94 -245 -02802505425 NA -136

Jul-94 328 -09170406074 NA 249

Aug-94 41 03148132864 NA 3

Sep-94 -245 49091708791 NA -203

Oct-94 225 33710507687 NA 14


Dec-94 148 11635880505 NA 095 Dec-94 100 100 100 100

Jan-95 259 1488846469 18462 078 Jan-95 103 101 102 101

Feb-95 39 18245801927 -04746 274 Feb-95 107 103 101 104

Mar-95 295 37741988604 70854 257 Mar-95 110 107 109 106

Apr-95 294 20196669281 31179 254 Apr-95 113 109 112 109

May-95 4 4438151788 78944 291 May-95 117 114 121 112

Jun-95 232 15287989065 -04753 152 Jun-95 120 116 120 114

Jul-95 332 -14769041128 -2252 32 Jul-95 124 114 117 117

Aug-95 025 -36439459991 -31269 016 Aug-95 125 110 114 118

Sep-95 422 05926567612 39491 274 Sep-95 130 111 118 121

Oct-95 -036 2635846499 25163 -064 Oct-95 129 114 121 120

Nov-95 439 27162162082 33589 332 Nov-95 135 117 125 124

Dec-95 193 4331305919 47021 198 Dec-95 138 122 131 126

Jan-96 34 19634168588 54269 207 Jan-96 142 124 138 129

Feb-96 093 -13857157749 -37777 042 Feb-96 144 123 133 130

Mar-96 096 3570816298 36706 074 Mar-96 145 127 138 131

Apr-96 147 47035792726 48573 151 Apr-96 147 133 145 133

May-96 258 04897246276 -23907 119 May-96 151 134 141 134

Jun-96 038 04231657395 28546 021 Jun-96 151 134 145 134

Jul-96 -442 -32825387444 -5322 -362 Jul-96 145 130 138 130

Aug-96 211 50232432929 29044 183 Aug-96 148 136 142 132

Sep-96 563 54206924649 82056 405 Sep-96 156 144 153 137

Oct-96 276 51159466491 83507 144 Oct-96 160 151 166 139

Nov-96 756 43728165918 864 527 Nov-96 173 158 180 147

Dec-96 -198 14093703517 -07113 -113 Dec-96 169 160 179 145

Jan-97 625 17011191838 -16167 314 Jan-97 180 162 176 150

Feb-97 078 -17477703643 -15622 041 Feb-97 181 160 173 150

Mar-97 -411 -0910181567 12022 -309 Mar-97 174 158 175 145

Apr-97 597 09232176853 15126 349 Apr-97 184 160 178 151

May-97 609 -06805906276 09263 543 May-97 195 159 180 159

Jun-97 448 14017438969 -08095 375 Jun-97 204 161 178 165

Jul-97 796 41579104051 60499 584 Jul-97 220 167 189 174

Aug-97 -56 -24491709033 -58848 -401 Aug-97 208 163 178 167

Sep-97 548 23206853381 65934 476 Sep-97 219 167 190 175

Oct-97 -334 3155194786 26194 -317 Oct-97 212 172 195 170

Nov-97 463 1734137994 34076 24 Nov-97 222 175 201 174

Dec-97 172 50839377232 45191 168 Dec-97 226 184 210 177

Jan-98 111 -0540706989 01984 101 Jan-98 228 183 211 178

Feb-98 721 40902523842 09547 561 Feb-98 245 191 213 189

Mar-98 512 4564059454 36725 385 Mar-98 257 200 221 196

Apr-98 101 10197007162 2729 086 Apr-98 260 202 227 197

May-98 -172 66464318242 49967 -174 May-98 255 215 238 194

Jun-98 406 14535097859 12227 237 Jun-98 266 218 241 199

Jul-98 -106 79600070571 25845 -106 143 Jul-98 263 235 247 197

Aug-98 -1446 85969949752 100188 -1191 Aug-98 225 256 272 173

Sep-98 641 -43471273323 13057 462 Sep-98 239 245 275 181

Oct-98 813 -21914686666 -48215 62 Oct-98 259 239 262 192

Nov-98 606 35427775078 -16838 49 Nov-98 274 248 258 202

Dec-98 576 46223079694 36184 48 Dec-98 290 259 267 211

Jan-99 418 11652083769 -13599 243 Jan-99 302 262 263 217

Feb-99 -311 08705260303 -29127 -306 Feb-99 293 264 256 210

Mar-99 4 -66775958823 -24295 326 Mar-99 305 247 250 217

Apr-99 387 22077437514 51823 383 Apr-99 316 252 263 225

May-99 -236 05593377297 -19638 -207 May-99 309 254 257 220

Jun-99 555 0821055256 43706 406 Jun-99 326 256 269 229

Jul-99 -312 -05417097185 00435 -19 Jul-99 316 254 269 225

Aug-99 -049 12651757883 01021 -075 Aug-99 314 258 269 223

Sep-99 -274 24672781685 05889 -147 Sep-99 306 264 271 220

Oct-99 633 -17330628613 -47866 486 Oct-99 325 259 258 231

Nov-99 203 37710155755 29817 248 Nov-99 332 269 265 236

Dec-99 589 30182108515 60293 568 Dec-99 351 277 281 250

Jan-00 -502 24897212667 -25282 -359 Jan-00 334 284 274 241

Feb-00 -189 -05713037029 10256 122 Feb-00 327 283 277 244

Mar-00 978 -24716293218 -3378 621 Mar-00 359 276 268 259

Apr-00 -301 03990582414 -22613 -331 1573 Apr-00 348 277 262 250

May-00 -205 24192880579 0877 -232 May-00 341 283 264 245

Jun-00 247 0878887186 -34187 3 Jun-00 350 286 255 252

Jul-00 -156 24260079771 12301 -165 Jul-00 344 293 258 248

Aug-00 621 75396102385 45179 559 Aug-00 366 315 270 262

Sep-00 -528 09222855204 04031 -385 Sep-00 346 318 271 252

Oct-00 -042 299852918 44133 -131 Oct-00 345 327 283 248

Nov-00 -788 5315579778 110553 -68 Nov-00 318 345 314 231

Dec-00 049 -25942802121 -17463 193 Dec-00 319 336 308 236

1-Jan 355 -00863561154 -04261 284 Jan-01 331 335 307 243

1-Feb -912 16209515233 74179 -716 Feb-01 300 341 330 225

1-Mar -633 48299554873 94097 -52 Mar-01 281 357 361 213

1-Apr 777 -43323517245 -65179 61 Apr-01 303 342 337 227

1-May 067 24991627761 11086 031 May-01 305 350 341 227

1-Jun -243 -01569851257 00543 -165 Jun-01 298 350 341 223

1-Jul -098 -21829671963 -05079 -093 Jul-01 295 342 340 221

1-Aug -626 -26070979092 17884 -404 Aug-01 276 333 346 212

1-Sep -808 10636654952 60561 -685 Sep-01 254 337 367 198

1-Oct 191 09408124501 22528 233 Oct-01 259 340 375 203

1-Nov 767 -16137664028 -837 519 Nov-01 279 334 344 213

1-Dec 088 07970479005 -2992 094 Dec-01 281 337 333 215

2-Jan -146 01132698972 -26759 -115 Jan-02 277 338 324 213

2-Feb -193 -02410246265 -26221 -106 Feb-02 272 337 316 210

2-Mar 376 -64656658879 -37678 312 Mar-02 282 315 304 217

2-Apr -606 01559405489 -06737 -3 Apr-02 265 315 302 210

2-May -074 19425675286 49554 -043 May-02 263 322 317 209

2-Jun -712 46154392532 59609 -498 Jun-02 244 336 336 199

2-Jul -78 -09755577412 44704 -592 Jul-02 225 333 351 187

2-Aug 066 36669673432 29178 074 Aug-02 227 345 361 189

2-Sep -1087 42995914132 68228 -728 Sep-02 202 360 386 175

2-Oct 88 -18586716944 -39428 521 Oct-02 220 354 370 184

2-Nov 589 -06691963741 -43217 423 Nov-02 233 351 354 192

2-Dec -587 10504712371 65168 -333 Dec-02 219 388 377 185

3-Jan -262 79413180181 78029 -186 Jan-03 213 419 407 182

3-Feb -15 5839796145 24675 -082 Feb-03 210 443 417 180

3-Mar 097 -4822187841 -49263 039 Mar-03 212 422 396 181

3-Apr 824 08044165566 01717 619 Apr-03 230 425 397 192

3-May 527 86017617168 75621 492 May-03 242 462 427 202

3-Jun 128 -16232843116 -23723 11 Jun-03 245 454 417 204

3-Jul 176 -58470688666 -38819 084 Jul-03 249 428 401 206

3-Aug 195 -01285241001 24459 191 Aug-03 254 427 411 210

3-Sep -106 62607424571 26964 031 Sep-03 251 454 422 210

3-Oct 566 09634730462 79884 431 Oct-03 266 458 455 219

3-Nov 088 23264834944 02951 12 Nov-03 268 469 457 222

3-Dec 524 14110879536 8856 41 Dec-03 282 476 497 231

4-Jan 184 19478633231 26613 172 Jan-04 287 485 510 235

4-Feb 139 52879779623 57235 144 Feb-04 291 511 540 239

4-Mar -151 2268957551 -03792 -05 Mar-04 287 522 538 237

4-Apr -157 -56830338449 -105019 -233 Apr-04 282 493 481 232

4-May 137 -16566072328 -32214 087 May-04 286 484 466 234

4-Jun 194 -17215338796 -23435 168 Jun-04 292 476 455 238

4-Jul -331 -06069797015 -19673 -258 Jul-04 282 473 446 232

4-Aug 04 -05707405134 -31134 082 Aug-04 283 470 432 234

4-Sep 108 70162697766 75979 145 Sep-04 286 503 465 237

4-Oct 153 34033420009 3203 17 Oct-04 291 521 480 241

4-Nov 405 45583596598 79681 368 Nov-04 302 544 518 250

4-Dec 34 01240939032 07905 307 Dec-04 313 545 522 257

5-Jan -244 16755564551 -35158 -181 Jan-05 305 554 504 253

5-Feb 21 -20025648058 07235 196 Feb-05 311 543 507 258

5-Mar -177 -10751895082 -32131 -158 Mar-05 306 537 491 254

5-Apr -19 -2390258099 -3307 -143 Apr-05 300 524 475 250

5-May 318 08685813036 14103 272 May-05 310 529 481 257

5-Jun 014 2223478206 2443 083 Jun-05 310 541 493 259

5-Jul 372 -21671781188 16173 293 Jul-05 322 529 501 267

5-Aug -091 49286219575 23044 002 Aug-05 319 555 513 267

5-Sep 081 37034231946 44919 108 Sep-05 321 576 536 270

5-Oct -167 -41709576663 -50465 -191 Oct-05 316 552 509 264

5-Nov 378 22186228209 731 307 Nov-05 328 564 546 272

5-Dec 003 15087373486 26914 097 Dec-05 328 572 561 275

6-Jan 265 05184116785 49735 32 Jan-06 337 575 588 284

6-Feb 027 -12693666599 -08661 013 Feb-06 338 568 583 284

6-Mar 125 20763323239 66529 136 Mar-06 342 580 622 288

6-Apr 134 -11401031738 110633 149 Apr-06 346 573 691 292

6-May -288 -38328436628 -15079 -283 May-06 336 551 681 284

6-Jun 014 -17992981531 -41286 014 Jun-06 337 541 652 285

6-Jul 062 -32543371611 -14002 038 Jul-06 339 524 643 286

6-Aug 238 -01076272465 29098 232 Aug-06 347 523 662 292

6-Sep 258 07974403785 -03827 16 Sep-06 356 527 659 297

6-Oct 326 -29512764216 -00218 309 Oct-06 368 512 659 306

6-Nov 19 03172013357 58364 222 Nov-06 375 513 698 313

6-Dec 14 25165243518 03787 117 Dec-06 380 526 700 317

7-Jan 151 -10891073316 07036 127 Jan-07 386 520 705 321

7-Feb -196 -0242828355 -13437 -066 Feb-07 378 519 696 318

7-Mar 112 -24787732727 -10187 115 Mar-07 382 506 689 322

7-Apr 443 02879881174 68079 345 Apr-07 399 508 736 333

7-May 349 04724656451 33768 267 May-07 413 510 761 342

7-Jun -166 06726351642 29473 -111 Jun-07 406 514 783 338

7-Jul -31 -10308231752 -62002 -209 Jul-07 394 508 734 331

7-Aug 15 -48378452877 -4152 085 Aug-07 400 484 704 334

7-Sep 374 50760632525 70341 364 Sep-07 415 508 753 346

7-Oct 159 36478459472 64209 235 2672 Oct-07 421 527 802 354

7-Nov -418 -09519733939 -29049 -338 Nov-07 404 522 779 342

7-Dec -069 -00407441673 00631 -06 Dec-07 401 522 779 340

8-Jan -6 38885050267 87377 -527 Jan-08 377 542 847 322

8-Feb -325 79938792923 97517 -138 Feb-08 364 585 930 318

8-Mar -043 -01164410281 -17484 -069 Mar-08 363 585 913 316

8-Apr 487 -11768609649 -73215 412 Apr-08 381 578 847 329

8-May 13 26727320318 02045 143 May-08 385 593 848 334

8-Jun -843 38796643349 38908 -664 Jun-08 353 616 881 311

8-Jul -084 -111000927524 -63133 -116 Jul-08 350 548 826 308

8-Aug 145 -81389596386 09693 032 Aug-08 355 503 834 309

8-Sep -891 2350077992 4926 -863 Sep-08 323 515 875 282

8-Oct -1679 231353875038 118043 -1488 Oct-08 269 634 978 240

8-Nov -718 91409930423 52566 -464 Nov-08 250 692 1029 229

8-Dec 106 39012647249 17001 298 Dec-08 252 719 1047 236

9-Jan -843 36085657209 -01782 -629 Jan-09 231 745 1045 221

9-Feb -1065 17480110926 0841 -723 Feb-09 207 758 1054 205

9-Mar 876 -40891209192 -17399 626 Mar-09 225 727 1035 218

9-Apr 957 -52452980511 -24793 785 Apr-09 246 689 1010 235

9-May 559 -175764056892 24393 525 May-09 260 568 1034 247

9-Jun 02 26344903362 -3873 018 Jun-09 260 583 994 248

9-Jul 756 29911557926 15775 638 Jul-09 280 600 1010 264

9-Aug 361 66647387555 02737 292 Aug-09 290 640 1013 271

9-Sep 373 19908108013 31657 353 Sep-09 301 653 1045 281

9-Oct -186 -1135758063 -18836 -156 Oct-09 295 646 1025 276

9-Nov 6 429598654 65618 406 Nov-09 313 673 1092 288

9-Dec 193 -3538041182 -30108 161 Dec-09 319 649 1060 292

10-Jan -36 -22840646395 -587 -256 Jan-10 308 635 997 285

10-Feb 31 13842186803 10589 206 Feb-10 317 643 1008 291

10-Mar 603 38205356429 32922 477 Mar-10 336 668 1041 304

10-Apr 158 14253968325 03791 14 Apr-10 342 678 1045 309

10-May -799 -05569215148 17471 -621 May-10 314 674 1063 290

10-Jun -523 -23229482293 07896 -318 Jun-10 298 658 1072 280

10-Jul 701 -52850060701 -35575 569 Jul-10 319 623 1034 296

10-Aug -451 76993453056 43121 -284 Aug-10 305 671 1078 288

10-Sep 892 05035470246 12552 702 Sep-10 332 675 1092 308

10-Oct 38 35726262618 52271 293 Oct-10 344 699 1149 317

10-Nov 001 -46572458071 -67101 -044 Nov-10 344 666 1072 316

10-Dec 668 71205616987 60114 502 Dec-10 367 714 1136 332

11-Jan 237 14260916813 02413 151 Jan-11 376 724 1139 337

11-Feb 343 -08196213636 14822 271 Feb-11 389 718 1156 346

11-Mar 004 -25144800567 -53504 026 Mar-11 389 700 1094 347

11-Apr 296 51621261523 44419 292 Apr-11 401 736 1142 357

11-May -113 -18535770592 -51957 -088 May-11 396 722 1083 354

11-Jun -167 08676483656 -46402 -14 Jun-11 389 729 1033 349

11-Jul -203 93387304437 48149 -126 Jul-11 382 797 1083 344

11-Aug -543 3189583693 00543 -469 Aug-11 361 822 1083 328

11-Sep -703 -41599527992 34989 -619 Sep-11 335 788 1121 308

11-Oct 1093 -13852548076 -6243 834 Oct-11 372 777 1051 333

11-Nov -022 39284953285 -00578 -096 Nov-11 371 808 1050 330

11-Dec 102 01889893545 02082 061 Dec-11 375 809 1053 332

12-Jan 448 -01521632453 -04526 426 Jan-12 392 808 1048 346

12-Feb 432 -22430032837 14221 342 Feb-12 409 790 1063 358

12-Mar 329 -12258940456 -21399 158 Mar-12 422 780 1040 364

12-Apr -063 13756177692 -18216 -038 Apr-12 420 791 1021 363

12-May -601 43616823461 38067 -528 May-12 394 825 1060 343

12-Jun 412 -61107318666 -83896 324 Jun-12 411 775 971 355

12-Jul 139 -2662867044 20145 115 Jul-12 416 754 991 359

12-Aug 225 -29540623033 -22929 186 Aug-12 426 732 968 365

12-Sep 258 -47724948882 -20234 22 Sep-12 437 697 948 373

12-Oct -185 -18050840884 -36659 -098 Oct-12 429 684 914 370

12-Nov 058 -03984415062 -0944 079 Nov-12 431 682 905 373

12-Dec 091 -17220762656 24366 124 Dec-12 435 670 927 377

13-Jan 518 -04335912154 32593 387 Jan-13 458 667 957 392

13-Feb 136 -29598734504 01523 08 Feb-13 464 647 959 395

13-Mar 375 -04786782014 2166 255 Mar-13 481 644 979 405

13-Apr 193 11854540053 29259 181 Apr-13 490 652 1008 412

13-May 234 -43222576245 -06784 082 May-13 502 624 1001 416

13-Jun -134 06875789801 10553 -177 Jun-13 495 628 1012 408

13-Jul 509 06412005306 -19554 423 Jul-13 520 632 992 426

13-Aug -29 11512128942 -11474 -214 Aug-13 505 639 981 417

13-Sep 314 -19925877399 -05148 361 Sep-13 521 626 976 432

13-Oct 46 -07538953205 -06933 349 Oct-13 545 622 969 447

13-Nov 305 27584740935 46402 189 Nov-13 562 639 1014 455

13-Dec 253 19377872096 15067 18 Dec-13 576 651 1029 463

14-Jan -346 -08961192857 -51141 -251 Jan-14 556 645 976 452

14-Feb 457 -00139276726 -05865 399 Feb-14 581 645 971 470

14-Mar 084 -34260446582 -18865 037 Mar-14 586 623 952 471

14-Apr 074 22210329784 03199 043 Apr-14 591 637 955 473

14-May 235 -07288421342 07134 197 May-14 605 632 962 483

14-Jun 207 05841054246 00135 195 Jun-14 617 636 962 492

14-Jul -138 -00888949644 03097 -153 Jul-14 609 636 965 485

14-Aug 4 18791535569 48657 313 Aug-14 633 648 1012 500

14-Sep -14 69028951277 63915 -221 Sep-14 624 692 1077 489

14-Oct 244 21563513841 15927 194 Oct-14 639 707 1094 498




15-Feb 575 -50846010492 -16603 45 Feb-15 672 817 1387 520

15-Mar -158 65245129876 57568 -083 Mar-15 661 870 1467 516

15-Apr 096 -88441663253 -51219 09 Apr-15 667 793 1392 520

15-May 129 40875447394 08884 073 May-15 676 825 1404 524

15-Jun -194 -66047202646 -62159 -171 Jun-15 663 771 1317 515

15-Jul 21 80060563143 34205 126 Jul-15 677 833 1362 522

15-Aug -603 -10026780942 -24342 -522 Aug-15 636 824 1329 494

15-Sep -247 36089130828 34355 -247 Sep-15 620 854 1374 482

15-Oct 844 -16993598229 -58073 637 Oct-15 673 839 1294 513

15-Nov 03 48441920313 30487 01 Nov-15 675 880 1334 513

15-Dec -158 11998205926 -10345 -173 Dec-15 664 891 1320 504

16-Jan -496 31480723033 48626 -453 Jan-16 631 919 1384 482

16-Feb -013 33572073647 44379 -002 Feb-16 630 950 1446 481

16-Mar 678 -61786855584 -39621 601 Mar-16 673 891 1388 510

16-Apr 039 -31282642584 09914 082 Apr-16 676 863 1402 515

16-May 18 -08911812015 -5253 107 May-16 688 855 1328 520

16-Jun 026 65324823204 94059 03 Jun-16 690 911 1453 522

16-Jul 369 21567955023 02767 348 Jul-16 715 931 1457 540

16-Aug 014 -15149 -44038 024 Aug-16 716 917 1393 541

16-Sep 002 10335 0967 025 Sep-16 716 926 1407 542

-41363


skew -04 02 01 -08

Kurt 198 469 -028 186

















0 1 2 3 4 5 6 7 8 9 10



























































-30

-20

-10

0

10

20

30

40

Annu

al R

etur

ns -





CSMF IndexTM


$0

$2

$4

$6

$8

$10

$12

$14

$16









Annlzd Ret

Annlzd Risk

Sharpe Ratio

Annlzd Ret

Annlzd Risk

Sharpe Ratio

Annlzd Ret

Annlzd Risk

Sharpe Ratio

Annlzd Ret

Annlzd Risk

Sharpe Ratio


3 Years 139 145 10 130 156 08 79 90 09 112 108 105 Years 33 129 03 46 138 03 120 92 13 164 111 15

10 Years 58 163 03 79 144 05 62 124 04 72 153 0420 Years 98 141 05 117 147 06 71 121 04 79 154 04






SampP 500

Nov-07 - Feb-09

Mar-09 - Mar-12

113 127 -145


326 277 -309

121 143 -88

26

-2509 -277 -42163 21 16



Data



Performance Stats


Correlations

Annual Returns
















20 Year Correlation




































Appendix




MLM 3x Index

TrendCS MF Index


10 Total 1000 1000



306 -210








1970 1607 9491971 648 -5801972 278 12791973 9190 63231974 1458 51501975 -620 -20551976 851 14651977 374 15591978 -178 4531979 2107 31971980 -568 4861981 2839 18891982 1278 13801983 -1005 -11941984 1281 0881985 239 5561986 456 2281987 643 10851988 188 -10381989 809 0551990 657 3771991 -604 -7281992 -557 -12351993 481 14301994 549 -7851995 384 14781996 409 21071997 077 0061998 992 10741999 -564 -12982000 3782 0122001 043 0492002 -972 11652003 1191 39572004 992 0172005 456 1152006 -1329 24292007 -461 4192008 4324 42422009 -811 -3752010 1370 5092011 1740 -16162012 -1910 -22872013 -127 10762014 2995 28432015 1359 086

-4000

-2000

000

2000

4000

6000

8000

10000

1970

1971

1972

1973

1974

1975

1976

1977

1978

1979

1980

1981

1982

1983

1984

1985

1986

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015


$0

$500

$1000

$1500

$2000

$2500

Growth of $100
























Instruments Futures














o Gain = ($50-$43) x 1000 = $7000


































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Slide Number 37


1995 0219 0228 0265 1995 0219 0313 0265

1996 0311 0264 0146 1996 0311 0364 0146

1997 0154 014 0219 1997 0154 0175 0219

1998 0406 0209 0197 1998 0406 0269 0197

1999 007 0066 0182 1999 007 0053 0182

2000 0211 0087 -0056 2000 0211 0097 -0056

2001 0004 007 -0088 2001 0004 008 -0088

2002 0151 0112 -0138 2002 0151 0133 -0138

2003 0226 0213 0247 2003 0226 0317 0247

2004 0146 0042 0114 2004 0146 005 0114

2005 005 0063 0069 2005 005 0074 0069

2006 -008 0188 0151 2006 -008 025 0151

2007 -0009 0095 0075 2007 -0009 0112 0075

2008 0379 023 -0307 2008 0379 0344 -0307

2009 -0097 0009 0239 2009 -0097 0012 0239

2010 0099 005 0135 2010 0099 0072 0135

2011 0134 -0048 0002 2011 0134 -0073 0002

2012 -0172 -008 0135 2012 -0172 -0119 0135

2013 -0028 0075 0228 2013 -0028 011 0228

2014 0253 0158 0091 2014 0253 0231 0091

2015 0091 0036 -0002 2015 0091 0042 -0002

Return 110 101 80 Return 110 131 80

StDev 153 93 146 StDev 153 134 146

Corr to 7030 -023 005 100 Corr to 7030 -023 004 100











20 Year Correlation

SampP 500 7030 MLM

7030 Portfolio 098





5 5 5 5 5 5 5 5












Correlation to date


5 5 5 5

SampP 500 Index 1 098 -027 -018

7030 Portfolio 098 1 -026 -016

MLM Index 3X -027 -026 1 066





1 Year 85 124 07 24 162 01 125 105 12 154 125 12

3 Years 139 145 10 130 156 08 79 90 09 112 108 10




1 Year 1543 1246 122 1252 1052 116 846 1244 066 24 162 01







01298 0156








1 Year 85 124 07 14 90 01 125 105 12

3 Years 139 145 10 90 103 09 79 90 09

5 Years 33 129 03 35 92 04 120 92 13

10 Years 58 163 03 58 97 05 62 124 04

20 Years 98 141 05 91 100 07 71 121 04



















Mar-73 009 NA NA NA



Jun-73 -04 NA NA NA

Jul-73 406 NA NA NA


Sep-73 427 NA NA NA

Oct-73 013 NA NA NA


Dec-73 196 NA NA NA










Oct-74 168 NA NA NA

Nov-74 -49 NA NA NA



Feb-75 639 NA NA NA

Mar-75 255 NA NA NA

Apr-75 509 NA NA NA

May-75 476 NA NA NA

Jun-75 477 NA NA NA




Oct-75 654 NA NA NA

Nov-75 281 NA NA NA




Mar-76 338 NA NA NA

Apr-76 -08 NA NA NA


Jun-76 441 NA NA NA

Jul-76 -05 NA NA NA

Aug-76 -02 NA NA NA

Sep-76 258 NA NA NA



Dec-76 558 NA NA NA




Apr-77 038 NA NA NA


Jun-77 493 NA NA NA



Sep-77 015 NA NA NA


Nov-77 312 NA NA NA

Dec-77 071 NA NA NA



Mar-78 297 NA NA NA

Apr-78 901 NA NA NA

May-78 086 NA NA NA


Jul-78 584 NA NA NA

Aug-78 302 NA NA NA



Nov-78 213 NA NA NA

Dec-78 194 NA NA NA

Jan-79 443 NA NA NA


Mar-79 598 NA NA NA

Apr-79 061 NA NA NA


Jun-79 434 NA NA NA

Jul-79 133 NA NA NA

Aug-79 576 NA NA NA

Sep-79 044 NA NA NA


Nov-79 472 NA NA NA

Dec-79 22 NA NA NA

Jan-80 621 NA NA NA



Apr-80 462 NA NA NA

May-80 515 NA NA NA

Jun-80 316 NA NA NA

Jul-80 696 NA NA NA

Aug-80 101 NA NA NA

Sep-80 294 NA NA NA

Oct-80 202 NA NA NA



Jan-81 -42 NA NA NA

Feb-81 172 NA NA NA

Mar-81 399 NA NA NA


May-81 025 NA NA NA


Jul-81 021 NA NA NA



Oct-81 54 NA NA NA

Nov-81 412 NA NA NA


Jan-82 -13 NA NA NA



Apr-82 452 NA NA NA


Jun-82 -15 NA NA NA



Sep-82 124 NA NA NA


Nov-82 404 NA NA NA

Dec-82 193 NA NA NA

Jan-83 372 NA NA NA

Feb-83 229 NA NA NA

Mar-83 369 NA NA NA

Apr-83 788 NA NA NA


Jun-83 389 NA NA NA


Aug-83 15 NA NA NA

Sep-83 138 NA NA NA


Nov-83 211 NA NA NA




Mar-84 173 NA NA NA

Apr-84 092 NA NA NA


Jun-84 214 NA NA NA



Sep-84 002 NA NA NA

Oct-84 038 NA NA NA


Dec-84 264 NA NA NA

Jan-85 779 NA NA NA

Feb-85 123 NA NA NA

Mar-85 006 NA NA NA


May-85 578 NA NA NA

Jun-85 157 NA NA NA




Oct-85 462 NA NA NA

Nov-85 686 NA NA NA

Dec-85 484 NA NA NA

Jan-86 056 NA NA NA

Feb-86 747 NA NA NA

Mar-86 558 NA NA NA


May-86 532 NA NA NA

Jun-86 169 NA NA NA


Aug-86 741 NA NA NA


Oct-86 577 NA NA NA

Nov-86 243 NA NA NA



Feb-87 395 NA NA NA

Mar-87 289 NA NA NA


May-87 087 NA NA NA

Jun-87 505 NA NA NA

Jul-87 507 NA NA NA

Aug-87 373 NA NA NA




Dec-87 761 NA NA NA

Jan-88 421 NA NA 349

Feb-88 466 NA NA 436

Mar-88 -309 NA NA 036

Apr-88 11 NA NA 066

May-88 086 NA NA -09

Jun-88 458 NA NA 252

Jul-88 -038 NA NA 02

Aug-88 -34 NA NA -286

Sep-88 425 NA NA 359

Oct-88 282 NA NA 344

Nov-88 -143 NA NA 034

Dec-88 174 NA NA 116

Jan-89 731 NA NA 398

Feb-89 -248 NA NA -089

Mar-89 232 NA NA 07

Apr-89 52 NA NA 323

May-89 405 NA NA 14

Jun-89 -057 NA NA 004

Jul-89 903 NA NA 742

Aug-89 195 NA NA -04

Sep-89 -041 NA NA 113

Oct-89 -232 NA NA -171

Nov-89 204 NA NA 23

Dec-89 24 NA NA 194

Jan-90 -671 NA NA -478

Feb-90 13 NA NA -08

Mar-90 264 NA NA -117

Apr-90 -249 NA NA -177

May-90 975 NA NA 786

Jun-90 -067 NA NA -001

Jul-90 -032 NA NA 019

Aug-90 -904 NA NA -722

Sep-90 -487 NA NA -53

Oct-90 -043 NA NA 295

Nov-90 646 NA NA 26

Dec-90 279 NA NA 235

Jan-91 435 NA NA 348

Feb-91 715 NA NA 62

Mar-91 242 NA NA 049

Apr-91 024 NA NA 058

May-91 431 NA NA 257

Jun-91 -458 NA NA -379

Jul-91 466 NA NA 377

Aug-91 237 NA NA 166

Sep-91 -167 NA NA 095

Oct-91 134 NA NA 152

Nov-91 -403 NA NA -26

Dec-91 1144 NA NA 76

Jan-92 -186 -50186134107 NA -101

Feb-92 13 -11806985257 NA 03

Mar-92 -194 -34682100213 NA -245

Apr-92 294 04856690806 NA 135

May-92 049 36691977834 NA 196

Jun-92 -149 3995994645 NA -144

Jul-92 409 58382478439 NA 241

Aug-92 -205 21392596519 NA 003

Sep-92 118 -10417441781 NA 069

Oct-92 035 -11426309261 NA -063

Nov-92 34 -24243841368 NA 231

Dec-92 123 03309287484 NA 157

Jan-93 084 12125566229 NA 109

Feb-93 136 59842293696 NA 136

Mar-93 211 -06484088187 NA 282

Apr-93 -242 09183032136 NA 027

May-93 268 -00124707027 NA 196

Jun-93 029 75565231659 NA 064

Jul-93 -04 34694235802 NA 068

Aug-93 379 26998187389 NA 356

Sep-93 -077 -35544940483 NA -032

Oct-93 207 12906000348 NA 154

Nov-93 -095 39231376084 NA -251

Dec-93 121 23140907663 NA 262

Jan-94 34 -16392143954 NA 357

Feb-94 -271 -5375365439 NA -19

Mar-94 -436 -17526970615 NA -389

Apr-94 128 -31042584129 NA 106

May-94 164 21687630069 NA 058

Jun-94 -245 -02802505425 NA -136

Jul-94 328 -09170406074 NA 249

Aug-94 41 03148132864 NA 3

Sep-94 -245 49091708791 NA -203

Oct-94 225 33710507687 NA 14


Dec-94 148 11635880505 NA 095 Dec-94 100 100 100 100

Jan-95 259 1488846469 18462 078 Jan-95 103 101 102 101

Feb-95 39 18245801927 -04746 274 Feb-95 107 103 101 104

Mar-95 295 37741988604 70854 257 Mar-95 110 107 109 106

Apr-95 294 20196669281 31179 254 Apr-95 113 109 112 109

May-95 4 4438151788 78944 291 May-95 117 114 121 112

Jun-95 232 15287989065 -04753 152 Jun-95 120 116 120 114

Jul-95 332 -14769041128 -2252 32 Jul-95 124 114 117 117

Aug-95 025 -36439459991 -31269 016 Aug-95 125 110 114 118

Sep-95 422 05926567612 39491 274 Sep-95 130 111 118 121

Oct-95 -036 2635846499 25163 -064 Oct-95 129 114 121 120

Nov-95 439 27162162082 33589 332 Nov-95 135 117 125 124

Dec-95 193 4331305919 47021 198 Dec-95 138 122 131 126

Jan-96 34 19634168588 54269 207 Jan-96 142 124 138 129

Feb-96 093 -13857157749 -37777 042 Feb-96 144 123 133 130

Mar-96 096 3570816298 36706 074 Mar-96 145 127 138 131

Apr-96 147 47035792726 48573 151 Apr-96 147 133 145 133

May-96 258 04897246276 -23907 119 May-96 151 134 141 134

Jun-96 038 04231657395 28546 021 Jun-96 151 134 145 134

Jul-96 -442 -32825387444 -5322 -362 Jul-96 145 130 138 130

Aug-96 211 50232432929 29044 183 Aug-96 148 136 142 132

Sep-96 563 54206924649 82056 405 Sep-96 156 144 153 137

Oct-96 276 51159466491 83507 144 Oct-96 160 151 166 139

Nov-96 756 43728165918 864 527 Nov-96 173 158 180 147

Dec-96 -198 14093703517 -07113 -113 Dec-96 169 160 179 145

Jan-97 625 17011191838 -16167 314 Jan-97 180 162 176 150

Feb-97 078 -17477703643 -15622 041 Feb-97 181 160 173 150

Mar-97 -411 -0910181567 12022 -309 Mar-97 174 158 175 145

Apr-97 597 09232176853 15126 349 Apr-97 184 160 178 151

May-97 609 -06805906276 09263 543 May-97 195 159 180 159

Jun-97 448 14017438969 -08095 375 Jun-97 204 161 178 165

Jul-97 796 41579104051 60499 584 Jul-97 220 167 189 174

Aug-97 -56 -24491709033 -58848 -401 Aug-97 208 163 178 167

Sep-97 548 23206853381 65934 476 Sep-97 219 167 190 175

Oct-97 -334 3155194786 26194 -317 Oct-97 212 172 195 170

Nov-97 463 1734137994 34076 24 Nov-97 222 175 201 174

Dec-97 172 50839377232 45191 168 Dec-97 226 184 210 177

Jan-98 111 -0540706989 01984 101 Jan-98 228 183 211 178

Feb-98 721 40902523842 09547 561 Feb-98 245 191 213 189

Mar-98 512 4564059454 36725 385 Mar-98 257 200 221 196

Apr-98 101 10197007162 2729 086 Apr-98 260 202 227 197

May-98 -172 66464318242 49967 -174 May-98 255 215 238 194

Jun-98 406 14535097859 12227 237 Jun-98 266 218 241 199

Jul-98 -106 79600070571 25845 -106 143 Jul-98 263 235 247 197

Aug-98 -1446 85969949752 100188 -1191 Aug-98 225 256 272 173

Sep-98 641 -43471273323 13057 462 Sep-98 239 245 275 181

Oct-98 813 -21914686666 -48215 62 Oct-98 259 239 262 192

Nov-98 606 35427775078 -16838 49 Nov-98 274 248 258 202

Dec-98 576 46223079694 36184 48 Dec-98 290 259 267 211

Jan-99 418 11652083769 -13599 243 Jan-99 302 262 263 217

Feb-99 -311 08705260303 -29127 -306 Feb-99 293 264 256 210

Mar-99 4 -66775958823 -24295 326 Mar-99 305 247 250 217

Apr-99 387 22077437514 51823 383 Apr-99 316 252 263 225

May-99 -236 05593377297 -19638 -207 May-99 309 254 257 220

Jun-99 555 0821055256 43706 406 Jun-99 326 256 269 229

Jul-99 -312 -05417097185 00435 -19 Jul-99 316 254 269 225

Aug-99 -049 12651757883 01021 -075 Aug-99 314 258 269 223

Sep-99 -274 24672781685 05889 -147 Sep-99 306 264 271 220

Oct-99 633 -17330628613 -47866 486 Oct-99 325 259 258 231

Nov-99 203 37710155755 29817 248 Nov-99 332 269 265 236

Dec-99 589 30182108515 60293 568 Dec-99 351 277 281 250

Jan-00 -502 24897212667 -25282 -359 Jan-00 334 284 274 241

Feb-00 -189 -05713037029 10256 122 Feb-00 327 283 277 244

Mar-00 978 -24716293218 -3378 621 Mar-00 359 276 268 259

Apr-00 -301 03990582414 -22613 -331 1573 Apr-00 348 277 262 250

May-00 -205 24192880579 0877 -232 May-00 341 283 264 245

Jun-00 247 0878887186 -34187 3 Jun-00 350 286 255 252

Jul-00 -156 24260079771 12301 -165 Jul-00 344 293 258 248

Aug-00 621 75396102385 45179 559 Aug-00 366 315 270 262

Sep-00 -528 09222855204 04031 -385 Sep-00 346 318 271 252

Oct-00 -042 299852918 44133 -131 Oct-00 345 327 283 248

Nov-00 -788 5315579778 110553 -68 Nov-00 318 345 314 231

Dec-00 049 -25942802121 -17463 193 Dec-00 319 336 308 236

1-Jan 355 -00863561154 -04261 284 Jan-01 331 335 307 243

1-Feb -912 16209515233 74179 -716 Feb-01 300 341 330 225

1-Mar -633 48299554873 94097 -52 Mar-01 281 357 361 213

1-Apr 777 -43323517245 -65179 61 Apr-01 303 342 337 227

1-May 067 24991627761 11086 031 May-01 305 350 341 227

1-Jun -243 -01569851257 00543 -165 Jun-01 298 350 341 223

1-Jul -098 -21829671963 -05079 -093 Jul-01 295 342 340 221

1-Aug -626 -26070979092 17884 -404 Aug-01 276 333 346 212

1-Sep -808 10636654952 60561 -685 Sep-01 254 337 367 198

1-Oct 191 09408124501 22528 233 Oct-01 259 340 375 203

1-Nov 767 -16137664028 -837 519 Nov-01 279 334 344 213

1-Dec 088 07970479005 -2992 094 Dec-01 281 337 333 215

2-Jan -146 01132698972 -26759 -115 Jan-02 277 338 324 213

2-Feb -193 -02410246265 -26221 -106 Feb-02 272 337 316 210

2-Mar 376 -64656658879 -37678 312 Mar-02 282 315 304 217

2-Apr -606 01559405489 -06737 -3 Apr-02 265 315 302 210

2-May -074 19425675286 49554 -043 May-02 263 322 317 209

2-Jun -712 46154392532 59609 -498 Jun-02 244 336 336 199

2-Jul -78 -09755577412 44704 -592 Jul-02 225 333 351 187

2-Aug 066 36669673432 29178 074 Aug-02 227 345 361 189

2-Sep -1087 42995914132 68228 -728 Sep-02 202 360 386 175

2-Oct 88 -18586716944 -39428 521 Oct-02 220 354 370 184

2-Nov 589 -06691963741 -43217 423 Nov-02 233 351 354 192

2-Dec -587 10504712371 65168 -333 Dec-02 219 388 377 185

3-Jan -262 79413180181 78029 -186 Jan-03 213 419 407 182

3-Feb -15 5839796145 24675 -082 Feb-03 210 443 417 180

3-Mar 097 -4822187841 -49263 039 Mar-03 212 422 396 181

3-Apr 824 08044165566 01717 619 Apr-03 230 425 397 192

3-May 527 86017617168 75621 492 May-03 242 462 427 202

3-Jun 128 -16232843116 -23723 11 Jun-03 245 454 417 204

3-Jul 176 -58470688666 -38819 084 Jul-03 249 428 401 206

3-Aug 195 -01285241001 24459 191 Aug-03 254 427 411 210

3-Sep -106 62607424571 26964 031 Sep-03 251 454 422 210

3-Oct 566 09634730462 79884 431 Oct-03 266 458 455 219

3-Nov 088 23264834944 02951 12 Nov-03 268 469 457 222

3-Dec 524 14110879536 8856 41 Dec-03 282 476 497 231

4-Jan 184 19478633231 26613 172 Jan-04 287 485 510 235

4-Feb 139 52879779623 57235 144 Feb-04 291 511 540 239

4-Mar -151 2268957551 -03792 -05 Mar-04 287 522 538 237

4-Apr -157 -56830338449 -105019 -233 Apr-04 282 493 481 232

4-May 137 -16566072328 -32214 087 May-04 286 484 466 234

4-Jun 194 -17215338796 -23435 168 Jun-04 292 476 455 238

4-Jul -331 -06069797015 -19673 -258 Jul-04 282 473 446 232

4-Aug 04 -05707405134 -31134 082 Aug-04 283 470 432 234

4-Sep 108 70162697766 75979 145 Sep-04 286 503 465 237

4-Oct 153 34033420009 3203 17 Oct-04 291 521 480 241

4-Nov 405 45583596598 79681 368 Nov-04 302 544 518 250

4-Dec 34 01240939032 07905 307 Dec-04 313 545 522 257

5-Jan -244 16755564551 -35158 -181 Jan-05 305 554 504 253

5-Feb 21 -20025648058 07235 196 Feb-05 311 543 507 258

5-Mar -177 -10751895082 -32131 -158 Mar-05 306 537 491 254

5-Apr -19 -2390258099 -3307 -143 Apr-05 300 524 475 250

5-May 318 08685813036 14103 272 May-05 310 529 481 257

5-Jun 014 2223478206 2443 083 Jun-05 310 541 493 259

5-Jul 372 -21671781188 16173 293 Jul-05 322 529 501 267

5-Aug -091 49286219575 23044 002 Aug-05 319 555 513 267

5-Sep 081 37034231946 44919 108 Sep-05 321 576 536 270

5-Oct -167 -41709576663 -50465 -191 Oct-05 316 552 509 264

5-Nov 378 22186228209 731 307 Nov-05 328 564 546 272

5-Dec 003 15087373486 26914 097 Dec-05 328 572 561 275

6-Jan 265 05184116785 49735 32 Jan-06 337 575 588 284

6-Feb 027 -12693666599 -08661 013 Feb-06 338 568 583 284

6-Mar 125 20763323239 66529 136 Mar-06 342 580 622 288

6-Apr 134 -11401031738 110633 149 Apr-06 346 573 691 292

6-May -288 -38328436628 -15079 -283 May-06 336 551 681 284

6-Jun 014 -17992981531 -41286 014 Jun-06 337 541 652 285

6-Jul 062 -32543371611 -14002 038 Jul-06 339 524 643 286

6-Aug 238 -01076272465 29098 232 Aug-06 347 523 662 292

6-Sep 258 07974403785 -03827 16 Sep-06 356 527 659 297

6-Oct 326 -29512764216 -00218 309 Oct-06 368 512 659 306

6-Nov 19 03172013357 58364 222 Nov-06 375 513 698 313

6-Dec 14 25165243518 03787 117 Dec-06 380 526 700 317

7-Jan 151 -10891073316 07036 127 Jan-07 386 520 705 321

7-Feb -196 -0242828355 -13437 -066 Feb-07 378 519 696 318

7-Mar 112 -24787732727 -10187 115 Mar-07 382 506 689 322

7-Apr 443 02879881174 68079 345 Apr-07 399 508 736 333

7-May 349 04724656451 33768 267 May-07 413 510 761 342

7-Jun -166 06726351642 29473 -111 Jun-07 406 514 783 338

7-Jul -31 -10308231752 -62002 -209 Jul-07 394 508 734 331

7-Aug 15 -48378452877 -4152 085 Aug-07 400 484 704 334

7-Sep 374 50760632525 70341 364 Sep-07 415 508 753 346

7-Oct 159 36478459472 64209 235 2672 Oct-07 421 527 802 354

7-Nov -418 -09519733939 -29049 -338 Nov-07 404 522 779 342

7-Dec -069 -00407441673 00631 -06 Dec-07 401 522 779 340

8-Jan -6 38885050267 87377 -527 Jan-08 377 542 847 322

8-Feb -325 79938792923 97517 -138 Feb-08 364 585 930 318

8-Mar -043 -01164410281 -17484 -069 Mar-08 363 585 913 316

8-Apr 487 -11768609649 -73215 412 Apr-08 381 578 847 329

8-May 13 26727320318 02045 143 May-08 385 593 848 334

8-Jun -843 38796643349 38908 -664 Jun-08 353 616 881 311

8-Jul -084 -111000927524 -63133 -116 Jul-08 350 548 826 308

8-Aug 145 -81389596386 09693 032 Aug-08 355 503 834 309

8-Sep -891 2350077992 4926 -863 Sep-08 323 515 875 282

8-Oct -1679 231353875038 118043 -1488 Oct-08 269 634 978 240

8-Nov -718 91409930423 52566 -464 Nov-08 250 692 1029 229

8-Dec 106 39012647249 17001 298 Dec-08 252 719 1047 236

9-Jan -843 36085657209 -01782 -629 Jan-09 231 745 1045 221

9-Feb -1065 17480110926 0841 -723 Feb-09 207 758 1054 205

9-Mar 876 -40891209192 -17399 626 Mar-09 225 727 1035 218

9-Apr 957 -52452980511 -24793 785 Apr-09 246 689 1010 235

9-May 559 -175764056892 24393 525 May-09 260 568 1034 247

9-Jun 02 26344903362 -3873 018 Jun-09 260 583 994 248

9-Jul 756 29911557926 15775 638 Jul-09 280 600 1010 264

9-Aug 361 66647387555 02737 292 Aug-09 290 640 1013 271

9-Sep 373 19908108013 31657 353 Sep-09 301 653 1045 281

9-Oct -186 -1135758063 -18836 -156 Oct-09 295 646 1025 276

9-Nov 6 429598654 65618 406 Nov-09 313 673 1092 288

9-Dec 193 -3538041182 -30108 161 Dec-09 319 649 1060 292

10-Jan -36 -22840646395 -587 -256 Jan-10 308 635 997 285

10-Feb 31 13842186803 10589 206 Feb-10 317 643 1008 291

10-Mar 603 38205356429 32922 477 Mar-10 336 668 1041 304

10-Apr 158 14253968325 03791 14 Apr-10 342 678 1045 309

10-May -799 -05569215148 17471 -621 May-10 314 674 1063 290

10-Jun -523 -23229482293 07896 -318 Jun-10 298 658 1072 280

10-Jul 701 -52850060701 -35575 569 Jul-10 319 623 1034 296

10-Aug -451 76993453056 43121 -284 Aug-10 305 671 1078 288

10-Sep 892 05035470246 12552 702 Sep-10 332 675 1092 308

10-Oct 38 35726262618 52271 293 Oct-10 344 699 1149 317

10-Nov 001 -46572458071 -67101 -044 Nov-10 344 666 1072 316

10-Dec 668 71205616987 60114 502 Dec-10 367 714 1136 332

11-Jan 237 14260916813 02413 151 Jan-11 376 724 1139 337

11-Feb 343 -08196213636 14822 271 Feb-11 389 718 1156 346

11-Mar 004 -25144800567 -53504 026 Mar-11 389 700 1094 347

11-Apr 296 51621261523 44419 292 Apr-11 401 736 1142 357

11-May -113 -18535770592 -51957 -088 May-11 396 722 1083 354

11-Jun -167 08676483656 -46402 -14 Jun-11 389 729 1033 349

11-Jul -203 93387304437 48149 -126 Jul-11 382 797 1083 344

11-Aug -543 3189583693 00543 -469 Aug-11 361 822 1083 328

11-Sep -703 -41599527992 34989 -619 Sep-11 335 788 1121 308

11-Oct 1093 -13852548076 -6243 834 Oct-11 372 777 1051 333

11-Nov -022 39284953285 -00578 -096 Nov-11 371 808 1050 330

11-Dec 102 01889893545 02082 061 Dec-11 375 809 1053 332

12-Jan 448 -01521632453 -04526 426 Jan-12 392 808 1048 346

12-Feb 432 -22430032837 14221 342 Feb-12 409 790 1063 358

12-Mar 329 -12258940456 -21399 158 Mar-12 422 780 1040 364

12-Apr -063 13756177692 -18216 -038 Apr-12 420 791 1021 363

12-May -601 43616823461 38067 -528 May-12 394 825 1060 343

12-Jun 412 -61107318666 -83896 324 Jun-12 411 775 971 355

12-Jul 139 -2662867044 20145 115 Jul-12 416 754 991 359

12-Aug 225 -29540623033 -22929 186 Aug-12 426 732 968 365

12-Sep 258 -47724948882 -20234 22 Sep-12 437 697 948 373

12-Oct -185 -18050840884 -36659 -098 Oct-12 429 684 914 370

12-Nov 058 -03984415062 -0944 079 Nov-12 431 682 905 373

12-Dec 091 -17220762656 24366 124 Dec-12 435 670 927 377

13-Jan 518 -04335912154 32593 387 Jan-13 458 667 957 392

13-Feb 136 -29598734504 01523 08 Feb-13 464 647 959 395

13-Mar 375 -04786782014 2166 255 Mar-13 481 644 979 405

13-Apr 193 11854540053 29259 181 Apr-13 490 652 1008 412

13-May 234 -43222576245 -06784 082 May-13 502 624 1001 416

13-Jun -134 06875789801 10553 -177 Jun-13 495 628 1012 408

13-Jul 509 06412005306 -19554 423 Jul-13 520 632 992 426

13-Aug -29 11512128942 -11474 -214 Aug-13 505 639 981 417

13-Sep 314 -19925877399 -05148 361 Sep-13 521 626 976 432

13-Oct 46 -07538953205 -06933 349 Oct-13 545 622 969 447

13-Nov 305 27584740935 46402 189 Nov-13 562 639 1014 455

13-Dec 253 19377872096 15067 18 Dec-13 576 651 1029 463

14-Jan -346 -08961192857 -51141 -251 Jan-14 556 645 976 452

14-Feb 457 -00139276726 -05865 399 Feb-14 581 645 971 470

14-Mar 084 -34260446582 -18865 037 Mar-14 586 623 952 471

14-Apr 074 22210329784 03199 043 Apr-14 591 637 955 473

14-May 235 -07288421342 07134 197 May-14 605 632 962 483

14-Jun 207 05841054246 00135 195 Jun-14 617 636 962 492

14-Jul -138 -00888949644 03097 -153 Jul-14 609 636 965 485

14-Aug 4 18791535569 48657 313 Aug-14 633 648 1012 500

14-Sep -14 69028951277 63915 -221 Sep-14 624 692 1077 489

14-Oct 244 21563513841 15927 194 Oct-14 639 707 1094 498




15-Feb 575 -50846010492 -16603 45 Feb-15 672 817 1387 520

15-Mar -158 65245129876 57568 -083 Mar-15 661 870 1467 516

15-Apr 096 -88441663253 -51219 09 Apr-15 667 793 1392 520

15-May 129 40875447394 08884 073 May-15 676 825 1404 524

15-Jun -194 -66047202646 -62159 -171 Jun-15 663 771 1317 515

15-Jul 21 80060563143 34205 126 Jul-15 677 833 1362 522

15-Aug -603 -10026780942 -24342 -522 Aug-15 636 824 1329 494

15-Sep -247 36089130828 34355 -247 Sep-15 620 854 1374 482

15-Oct 844 -16993598229 -58073 637 Oct-15 673 839 1294 513

15-Nov 03 48441920313 30487 01 Nov-15 675 880 1334 513

15-Dec -158 11998205926 -10345 -173 Dec-15 664 891 1320 504

16-Jan -496 31480723033 48626 -453 Jan-16 631 919 1384 482

16-Feb -013 33572073647 44379 -002 Feb-16 630 950 1446 481

16-Mar 678 -61786855584 -39621 601 Mar-16 673 891 1388 510

16-Apr 039 -31282642584 09914 082 Apr-16 676 863 1402 515

16-May 18 -08911812015 -5253 107 May-16 688 855 1328 520

16-Jun 026 65324823204 94059 03 Jun-16 690 911 1453 522

16-Jul 369 21567955023 02767 348 Jul-16 715 931 1457 540

16-Aug 014 -15149 -44038 024 Aug-16 716 917 1393 541

16-Sep 002 10335 0967 025 Sep-16 716 926 1407 542

-41363


skew -04 02 01 -08

Kurt 198 469 -028 186


























































-30

-20

-10

0

10

20

30

40

Annu

al R

etur

ns -





CSMF IndexTM


$0

$2

$4

$6

$8

$10

$12

$14

$16









Annlzd Ret

Annlzd Risk

Sharpe Ratio

Annlzd Ret

Annlzd Risk

Sharpe Ratio

Annlzd Ret

Annlzd Risk

Sharpe Ratio

Annlzd Ret

Annlzd Risk

Sharpe Ratio


3 Years 139 145 10 130 156 08 79 90 09 112 108 105 Years 33 129 03 46 138 03 120 92 13 164 111 15

10 Years 58 163 03 79 144 05 62 124 04 72 153 0420 Years 98 141 05 117 147 06 71 121 04 79 154 04






SampP 500

Nov-07 - Feb-09

Mar-09 - Mar-12

113 127 -145


326 277 -309

121 143 -88

26

-2509 -277 -42163 21 16



Data



Performance Stats


Correlations

Annual Returns
















20 Year Correlation




































Appendix




MLM 3x Index

TrendCS MF Index


10 Total 1000 1000



306 -210








1970 1607 9491971 648 -5801972 278 12791973 9190 63231974 1458 51501975 -620 -20551976 851 14651977 374 15591978 -178 4531979 2107 31971980 -568 4861981 2839 18891982 1278 13801983 -1005 -11941984 1281 0881985 239 5561986 456 2281987 643 10851988 188 -10381989 809 0551990 657 3771991 -604 -7281992 -557 -12351993 481 14301994 549 -7851995 384 14781996 409 21071997 077 0061998 992 10741999 -564 -12982000 3782 0122001 043 0492002 -972 11652003 1191 39572004 992 0172005 456 1152006 -1329 24292007 -461 4192008 4324 42422009 -811 -3752010 1370 5092011 1740 -16162012 -1910 -22872013 -127 10762014 2995 28432015 1359 086

-4000

-2000

000

2000

4000

6000

8000

10000

1970

1971

1972

1973

1974

1975

1976

1977

1978

1979

1980

1981

1982

1983

1984

1985

1986

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015


$0

$500

$1000

$1500

$2000

$2500

Growth of $100
























Instruments Futures














o Gain = ($50-$43) x 1000 = $7000


































Slide Number 1

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Slide Number 13

Slide Number 14

Slide Number 15

Slide Number 16

Slide Number 17

Slide Number 18

Slide Number 19

Slide Number 20

Slide Number 21

Slide Number 22

Slide Number 23

Slide Number 24

Slide Number 25

Slide Number 26

Slide Number 27

Slide Number 28

Slide Number 29

Slide Number 30

Slide Number 31

Slide Number 32

Slide Number 33

Slide Number 34

Slide Number 35

Slide Number 36

Slide Number 37


1995 0219 0228 0265 1995 0219 0313 0265

1996 0311 0264 0146 1996 0311 0364 0146

1997 0154 014 0219 1997 0154 0175 0219

1998 0406 0209 0197 1998 0406 0269 0197

1999 007 0066 0182 1999 007 0053 0182

2000 0211 0087 -0056 2000 0211 0097 -0056

2001 0004 007 -0088 2001 0004 008 -0088

2002 0151 0112 -0138 2002 0151 0133 -0138

2003 0226 0213 0247 2003 0226 0317 0247

2004 0146 0042 0114 2004 0146 005 0114

2005 005 0063 0069 2005 005 0074 0069

2006 -008 0188 0151 2006 -008 025 0151

2007 -0009 0095 0075 2007 -0009 0112 0075

2008 0379 023 -0307 2008 0379 0344 -0307

2009 -0097 0009 0239 2009 -0097 0012 0239

2010 0099 005 0135 2010 0099 0072 0135

2011 0134 -0048 0002 2011 0134 -0073 0002

2012 -0172 -008 0135 2012 -0172 -0119 0135

2013 -0028 0075 0228 2013 -0028 011 0228

2014 0253 0158 0091 2014 0253 0231 0091

2015 0091 0036 -0002 2015 0091 0042 -0002

Return 110 101 80 Return 110 131 80

StDev 153 93 146 StDev 153 134 146

Corr to 7030 -023 005 100 Corr to 7030 -023 004 100











20 Year Correlation

SampP 500 7030 MLM

7030 Portfolio 098





5 5 5 5 5 5 5 5












Correlation to date


5 5 5 5

SampP 500 Index 1 098 -027 -018

7030 Portfolio 098 1 -026 -016

MLM Index 3X -027 -026 1 066





1 Year 85 124 07 24 162 01 125 105 12 154 125 12

3 Years 139 145 10 130 156 08 79 90 09 112 108 10




1 Year 1543 1246 122 1252 1052 116 846 1244 066 24 162 01







01298 0156








1 Year 85 124 07 14 90 01 125 105 12

3 Years 139 145 10 90 103 09 79 90 09

5 Years 33 129 03 35 92 04 120 92 13

10 Years 58 163 03 58 97 05 62 124 04

20 Years 98 141 05 91 100 07 71 121 04



















Mar-73 009 NA NA NA



Jun-73 -04 NA NA NA

Jul-73 406 NA NA NA


Sep-73 427 NA NA NA

Oct-73 013 NA NA NA


Dec-73 196 NA NA NA










Oct-74 168 NA NA NA

Nov-74 -49 NA NA NA



Feb-75 639 NA NA NA

Mar-75 255 NA NA NA

Apr-75 509 NA NA NA

May-75 476 NA NA NA

Jun-75 477 NA NA NA




Oct-75 654 NA NA NA

Nov-75 281 NA NA NA




Mar-76 338 NA NA NA

Apr-76 -08 NA NA NA


Jun-76 441 NA NA NA

Jul-76 -05 NA NA NA

Aug-76 -02 NA NA NA

Sep-76 258 NA NA NA



Dec-76 558 NA NA NA




Apr-77 038 NA NA NA


Jun-77 493 NA NA NA



Sep-77 015 NA NA NA


Nov-77 312 NA NA NA

Dec-77 071 NA NA NA



Mar-78 297 NA NA NA

Apr-78 901 NA NA NA

May-78 086 NA NA NA


Jul-78 584 NA NA NA

Aug-78 302 NA NA NA



Nov-78 213 NA NA NA

Dec-78 194 NA NA NA

Jan-79 443 NA NA NA


Mar-79 598 NA NA NA

Apr-79 061 NA NA NA


Jun-79 434 NA NA NA

Jul-79 133 NA NA NA

Aug-79 576 NA NA NA

Sep-79 044 NA NA NA


Nov-79 472 NA NA NA

Dec-79 22 NA NA NA

Jan-80 621 NA NA NA



Apr-80 462 NA NA NA

May-80 515 NA NA NA

Jun-80 316 NA NA NA

Jul-80 696 NA NA NA

Aug-80 101 NA NA NA

Sep-80 294 NA NA NA

Oct-80 202 NA NA NA



Jan-81 -42 NA NA NA

Feb-81 172 NA NA NA

Mar-81 399 NA NA NA


May-81 025 NA NA NA


Jul-81 021 NA NA NA



Oct-81 54 NA NA NA

Nov-81 412 NA NA NA


Jan-82 -13 NA NA NA



Apr-82 452 NA NA NA


Jun-82 -15 NA NA NA



Sep-82 124 NA NA NA


Nov-82 404 NA NA NA

Dec-82 193 NA NA NA

Jan-83 372 NA NA NA

Feb-83 229 NA NA NA

Mar-83 369 NA NA NA

Apr-83 788 NA NA NA


Jun-83 389 NA NA NA


Aug-83 15 NA NA NA

Sep-83 138 NA NA NA


Nov-83 211 NA NA NA




Mar-84 173 NA NA NA

Apr-84 092 NA NA NA


Jun-84 214 NA NA NA



Sep-84 002 NA NA NA

Oct-84 038 NA NA NA


Dec-84 264 NA NA NA

Jan-85 779 NA NA NA

Feb-85 123 NA NA NA

Mar-85 006 NA NA NA


May-85 578 NA NA NA

Jun-85 157 NA NA NA




Oct-85 462 NA NA NA

Nov-85 686 NA NA NA

Dec-85 484 NA NA NA

Jan-86 056 NA NA NA

Feb-86 747 NA NA NA

Mar-86 558 NA NA NA


May-86 532 NA NA NA

Jun-86 169 NA NA NA


Aug-86 741 NA NA NA


Oct-86 577 NA NA NA

Nov-86 243 NA NA NA



Feb-87 395 NA NA NA

Mar-87 289 NA NA NA


May-87 087 NA NA NA

Jun-87 505 NA NA NA

Jul-87 507 NA NA NA

Aug-87 373 NA NA NA




Dec-87 761 NA NA NA

Jan-88 421 NA NA 349

Feb-88 466 NA NA 436

Mar-88 -309 NA NA 036

Apr-88 11 NA NA 066

May-88 086 NA NA -09

Jun-88 458 NA NA 252

Jul-88 -038 NA NA 02

Aug-88 -34 NA NA -286

Sep-88 425 NA NA 359

Oct-88 282 NA NA 344

Nov-88 -143 NA NA 034

Dec-88 174 NA NA 116

Jan-89 731 NA NA 398

Feb-89 -248 NA NA -089

Mar-89 232 NA NA 07

Apr-89 52 NA NA 323

May-89 405 NA NA 14

Jun-89 -057 NA NA 004

Jul-89 903 NA NA 742

Aug-89 195 NA NA -04

Sep-89 -041 NA NA 113

Oct-89 -232 NA NA -171

Nov-89 204 NA NA 23

Dec-89 24 NA NA 194

Jan-90 -671 NA NA -478

Feb-90 13 NA NA -08

Mar-90 264 NA NA -117

Apr-90 -249 NA NA -177

May-90 975 NA NA 786

Jun-90 -067 NA NA -001

Jul-90 -032 NA NA 019

Aug-90 -904 NA NA -722

Sep-90 -487 NA NA -53

Oct-90 -043 NA NA 295

Nov-90 646 NA NA 26

Dec-90 279 NA NA 235

Jan-91 435 NA NA 348

Feb-91 715 NA NA 62

Mar-91 242 NA NA 049

Apr-91 024 NA NA 058

May-91 431 NA NA 257

Jun-91 -458 NA NA -379

Jul-91 466 NA NA 377

Aug-91 237 NA NA 166

Sep-91 -167 NA NA 095

Oct-91 134 NA NA 152

Nov-91 -403 NA NA -26

Dec-91 1144 NA NA 76

Jan-92 -186 -50186134107 NA -101

Feb-92 13 -11806985257 NA 03

Mar-92 -194 -34682100213 NA -245

Apr-92 294 04856690806 NA 135

May-92 049 36691977834 NA 196

Jun-92 -149 3995994645 NA -144

Jul-92 409 58382478439 NA 241

Aug-92 -205 21392596519 NA 003

Sep-92 118 -10417441781 NA 069

Oct-92 035 -11426309261 NA -063

Nov-92 34 -24243841368 NA 231

Dec-92 123 03309287484 NA 157

Jan-93 084 12125566229 NA 109

Feb-93 136 59842293696 NA 136

Mar-93 211 -06484088187 NA 282

Apr-93 -242 09183032136 NA 027

May-93 268 -00124707027 NA 196

Jun-93 029 75565231659 NA 064

Jul-93 -04 34694235802 NA 068

Aug-93 379 26998187389 NA 356

Sep-93 -077 -35544940483 NA -032

Oct-93 207 12906000348 NA 154

Nov-93 -095 39231376084 NA -251

Dec-93 121 23140907663 NA 262

Jan-94 34 -16392143954 NA 357

Feb-94 -271 -5375365439 NA -19

Mar-94 -436 -17526970615 NA -389

Apr-94 128 -31042584129 NA 106

May-94 164 21687630069 NA 058

Jun-94 -245 -02802505425 NA -136

Jul-94 328 -09170406074 NA 249

Aug-94 41 03148132864 NA 3

Sep-94 -245 49091708791 NA -203

Oct-94 225 33710507687 NA 14


Dec-94 148 11635880505 NA 095 Dec-94 100 100 100 100

Jan-95 259 1488846469 18462 078 Jan-95 103 101 102 101

Feb-95 39 18245801927 -04746 274 Feb-95 107 103 101 104

Mar-95 295 37741988604 70854 257 Mar-95 110 107 109 106

Apr-95 294 20196669281 31179 254 Apr-95 113 109 112 109

May-95 4 4438151788 78944 291 May-95 117 114 121 112

Jun-95 232 15287989065 -04753 152 Jun-95 120 116 120 114

Jul-95 332 -14769041128 -2252 32 Jul-95 124 114 117 117

Aug-95 025 -36439459991 -31269 016 Aug-95 125 110 114 118

Sep-95 422 05926567612 39491 274 Sep-95 130 111 118 121

Oct-95 -036 2635846499 25163 -064 Oct-95 129 114 121 120

Nov-95 439 27162162082 33589 332 Nov-95 135 117 125 124

Dec-95 193 4331305919 47021 198 Dec-95 138 122 131 126

Jan-96 34 19634168588 54269 207 Jan-96 142 124 138 129

Feb-96 093 -13857157749 -37777 042 Feb-96 144 123 133 130

Mar-96 096 3570816298 36706 074 Mar-96 145 127 138 131

Apr-96 147 47035792726 48573 151 Apr-96 147 133 145 133

May-96 258 04897246276 -23907 119 May-96 151 134 141 134

Jun-96 038 04231657395 28546 021 Jun-96 151 134 145 134

Jul-96 -442 -32825387444 -5322 -362 Jul-96 145 130 138 130

Aug-96 211 50232432929 29044 183 Aug-96 148 136 142 132

Sep-96 563 54206924649 82056 405 Sep-96 156 144 153 137

Oct-96 276 51159466491 83507 144 Oct-96 160 151 166 139

Nov-96 756 43728165918 864 527 Nov-96 173 158 180 147

Dec-96 -198 14093703517 -07113 -113 Dec-96 169 160 179 145

Jan-97 625 17011191838 -16167 314 Jan-97 180 162 176 150

Feb-97 078 -17477703643 -15622 041 Feb-97 181 160 173 150

Mar-97 -411 -0910181567 12022 -309 Mar-97 174 158 175 145

Apr-97 597 09232176853 15126 349 Apr-97 184 160 178 151

May-97 609 -06805906276 09263 543 May-97 195 159 180 159

Jun-97 448 14017438969 -08095 375 Jun-97 204 161 178 165

Jul-97 796 41579104051 60499 584 Jul-97 220 167 189 174

Aug-97 -56 -24491709033 -58848 -401 Aug-97 208 163 178 167

Sep-97 548 23206853381 65934 476 Sep-97 219 167 190 175

Oct-97 -334 3155194786 26194 -317 Oct-97 212 172 195 170

Nov-97 463 1734137994 34076 24 Nov-97 222 175 201 174

Dec-97 172 50839377232 45191 168 Dec-97 226 184 210 177

Jan-98 111 -0540706989 01984 101 Jan-98 228 183 211 178

Feb-98 721 40902523842 09547 561 Feb-98 245 191 213 189

Mar-98 512 4564059454 36725 385 Mar-98 257 200 221 196

Apr-98 101 10197007162 2729 086 Apr-98 260 202 227 197

May-98 -172 66464318242 49967 -174 May-98 255 215 238 194

Jun-98 406 14535097859 12227 237 Jun-98 266 218 241 199

Jul-98 -106 79600070571 25845 -106 143 Jul-98 263 235 247 197

Aug-98 -1446 85969949752 100188 -1191 Aug-98 225 256 272 173

Sep-98 641 -43471273323 13057 462 Sep-98 239 245 275 181

Oct-98 813 -21914686666 -48215 62 Oct-98 259 239 262 192

Nov-98 606 35427775078 -16838 49 Nov-98 274 248 258 202

Dec-98 576 46223079694 36184 48 Dec-98 290 259 267 211

Jan-99 418 11652083769 -13599 243 Jan-99 302 262 263 217

Feb-99 -311 08705260303 -29127 -306 Feb-99 293 264 256 210

Mar-99 4 -66775958823 -24295 326 Mar-99 305 247 250 217

Apr-99 387 22077437514 51823 383 Apr-99 316 252 263 225

May-99 -236 05593377297 -19638 -207 May-99 309 254 257 220

Jun-99 555 0821055256 43706 406 Jun-99 326 256 269 229

Jul-99 -312 -05417097185 00435 -19 Jul-99 316 254 269 225

Aug-99 -049 12651757883 01021 -075 Aug-99 314 258 269 223

Sep-99 -274 24672781685 05889 -147 Sep-99 306 264 271 220

Oct-99 633 -17330628613 -47866 486 Oct-99 325 259 258 231

Nov-99 203 37710155755 29817 248 Nov-99 332 269 265 236

Dec-99 589 30182108515 60293 568 Dec-99 351 277 281 250

Jan-00 -502 24897212667 -25282 -359 Jan-00 334 284 274 241

Feb-00 -189 -05713037029 10256 122 Feb-00 327 283 277 244

Mar-00 978 -24716293218 -3378 621 Mar-00 359 276 268 259

Apr-00 -301 03990582414 -22613 -331 1573 Apr-00 348 277 262 250

May-00 -205 24192880579 0877 -232 May-00 341 283 264 245

Jun-00 247 0878887186 -34187 3 Jun-00 350 286 255 252

Jul-00 -156 24260079771 12301 -165 Jul-00 344 293 258 248

Aug-00 621 75396102385 45179 559 Aug-00 366 315 270 262

Sep-00 -528 09222855204 04031 -385 Sep-00 346 318 271 252

Oct-00 -042 299852918 44133 -131 Oct-00 345 327 283 248

Nov-00 -788 5315579778 110553 -68 Nov-00 318 345 314 231

Dec-00 049 -25942802121 -17463 193 Dec-00 319 336 308 236

1-Jan 355 -00863561154 -04261 284 Jan-01 331 335 307 243

1-Feb -912 16209515233 74179 -716 Feb-01 300 341 330 225

1-Mar -633 48299554873 94097 -52 Mar-01 281 357 361 213

1-Apr 777 -43323517245 -65179 61 Apr-01 303 342 337 227

1-May 067 24991627761 11086 031 May-01 305 350 341 227

1-Jun -243 -01569851257 00543 -165 Jun-01 298 350 341 223

1-Jul -098 -21829671963 -05079 -093 Jul-01 295 342 340 221

1-Aug -626 -26070979092 17884 -404 Aug-01 276 333 346 212

1-Sep -808 10636654952 60561 -685 Sep-01 254 337 367 198

1-Oct 191 09408124501 22528 233 Oct-01 259 340 375 203

1-Nov 767 -16137664028 -837 519 Nov-01 279 334 344 213

1-Dec 088 07970479005 -2992 094 Dec-01 281 337 333 215

2-Jan -146 01132698972 -26759 -115 Jan-02 277 338 324 213

2-Feb -193 -02410246265 -26221 -106 Feb-02 272 337 316 210

2-Mar 376 -64656658879 -37678 312 Mar-02 282 315 304 217

2-Apr -606 01559405489 -06737 -3 Apr-02 265 315 302 210

2-May -074 19425675286 49554 -043 May-02 263 322 317 209

2-Jun -712 46154392532 59609 -498 Jun-02 244 336 336 199

2-Jul -78 -09755577412 44704 -592 Jul-02 225 333 351 187

2-Aug 066 36669673432 29178 074 Aug-02 227 345 361 189

2-Sep -1087 42995914132 68228 -728 Sep-02 202 360 386 175

2-Oct 88 -18586716944 -39428 521 Oct-02 220 354 370 184

2-Nov 589 -06691963741 -43217 423 Nov-02 233 351 354 192

2-Dec -587 10504712371 65168 -333 Dec-02 219 388 377 185

3-Jan -262 79413180181 78029 -186 Jan-03 213 419 407 182

3-Feb -15 5839796145 24675 -082 Feb-03 210 443 417 180

3-Mar 097 -4822187841 -49263 039 Mar-03 212 422 396 181

3-Apr 824 08044165566 01717 619 Apr-03 230 425 397 192

3-May 527 86017617168 75621 492 May-03 242 462 427 202

3-Jun 128 -16232843116 -23723 11 Jun-03 245 454 417 204

3-Jul 176 -58470688666 -38819 084 Jul-03 249 428 401 206

3-Aug 195 -01285241001 24459 191 Aug-03 254 427 411 210

3-Sep -106 62607424571 26964 031 Sep-03 251 454 422 210

3-Oct 566 09634730462 79884 431 Oct-03 266 458 455 219

3-Nov 088 23264834944 02951 12 Nov-03 268 469 457 222

3-Dec 524 14110879536 8856 41 Dec-03 282 476 497 231

4-Jan 184 19478633231 26613 172 Jan-04 287 485 510 235

4-Feb 139 52879779623 57235 144 Feb-04 291 511 540 239

4-Mar -151 2268957551 -03792 -05 Mar-04 287 522 538 237

4-Apr -157 -56830338449 -105019 -233 Apr-04 282 493 481 232

4-May 137 -16566072328 -32214 087 May-04 286 484 466 234

4-Jun 194 -17215338796 -23435 168 Jun-04 292 476 455 238

4-Jul -331 -06069797015 -19673 -258 Jul-04 282 473 446 232

4-Aug 04 -05707405134 -31134 082 Aug-04 283 470 432 234

4-Sep 108 70162697766 75979 145 Sep-04 286 503 465 237

4-Oct 153 34033420009 3203 17 Oct-04 291 521 480 241

4-Nov 405 45583596598 79681 368 Nov-04 302 544 518 250

4-Dec 34 01240939032 07905 307 Dec-04 313 545 522 257

5-Jan -244 16755564551 -35158 -181 Jan-05 305 554 504 253

5-Feb 21 -20025648058 07235 196 Feb-05 311 543 507 258

5-Mar -177 -10751895082 -32131 -158 Mar-05 306 537 491 254

5-Apr -19 -2390258099 -3307 -143 Apr-05 300 524 475 250

5-May 318 08685813036 14103 272 May-05 310 529 481 257

5-Jun 014 2223478206 2443 083 Jun-05 310 541 493 259

5-Jul 372 -21671781188 16173 293 Jul-05 322 529 501 267

5-Aug -091 49286219575 23044 002 Aug-05 319 555 513 267

5-Sep 081 37034231946 44919 108 Sep-05 321 576 536 270

5-Oct -167 -41709576663 -50465 -191 Oct-05 316 552 509 264

5-Nov 378 22186228209 731 307 Nov-05 328 564 546 272

5-Dec 003 15087373486 26914 097 Dec-05 328 572 561 275

6-Jan 265 05184116785 49735 32 Jan-06 337 575 588 284

6-Feb 027 -12693666599 -08661 013 Feb-06 338 568 583 284

6-Mar 125 20763323239 66529 136 Mar-06 342 580 622 288

6-Apr 134 -11401031738 110633 149 Apr-06 346 573 691 292

6-May -288 -38328436628 -15079 -283 May-06 336 551 681 284

6-Jun 014 -17992981531 -41286 014 Jun-06 337 541 652 285

6-Jul 062 -32543371611 -14002 038 Jul-06 339 524 643 286

6-Aug 238 -01076272465 29098 232 Aug-06 347 523 662 292

6-Sep 258 07974403785 -03827 16 Sep-06 356 527 659 297

6-Oct 326 -29512764216 -00218 309 Oct-06 368 512 659 306

6-Nov 19 03172013357 58364 222 Nov-06 375 513 698 313

6-Dec 14 25165243518 03787 117 Dec-06 380 526 700 317

7-Jan 151 -10891073316 07036 127 Jan-07 386 520 705 321

7-Feb -196 -0242828355 -13437 -066 Feb-07 378 519 696 318

7-Mar 112 -24787732727 -10187 115 Mar-07 382 506 689 322

7-Apr 443 02879881174 68079 345 Apr-07 399 508 736 333

7-May 349 04724656451 33768 267 May-07 413 510 761 342

7-Jun -166 06726351642 29473 -111 Jun-07 406 514 783 338

7-Jul -31 -10308231752 -62002 -209 Jul-07 394 508 734 331

7-Aug 15 -48378452877 -4152 085 Aug-07 400 484 704 334

7-Sep 374 50760632525 70341 364 Sep-07 415 508 753 346

7-Oct 159 36478459472 64209 235 2672 Oct-07 421 527 802 354

7-Nov -418 -09519733939 -29049 -338 Nov-07 404 522 779 342

7-Dec -069 -00407441673 00631 -06 Dec-07 401 522 779 340

8-Jan -6 38885050267 87377 -527 Jan-08 377 542 847 322

8-Feb -325 79938792923 97517 -138 Feb-08 364 585 930 318

8-Mar -043 -01164410281 -17484 -069 Mar-08 363 585 913 316

8-Apr 487 -11768609649 -73215 412 Apr-08 381 578 847 329

8-May 13 26727320318 02045 143 May-08 385 593 848 334

8-Jun -843 38796643349 38908 -664 Jun-08 353 616 881 311

8-Jul -084 -111000927524 -63133 -116 Jul-08 350 548 826 308

8-Aug 145 -81389596386 09693 032 Aug-08 355 503 834 309

8-Sep -891 2350077992 4926 -863 Sep-08 323 515 875 282

8-Oct -1679 231353875038 118043 -1488 Oct-08 269 634 978 240

8-Nov -718 91409930423 52566 -464 Nov-08 250 692 1029 229

8-Dec 106 39012647249 17001 298 Dec-08 252 719 1047 236

9-Jan -843 36085657209 -01782 -629 Jan-09 231 745 1045 221

9-Feb -1065 17480110926 0841 -723 Feb-09 207 758 1054 205

9-Mar 876 -40891209192 -17399 626 Mar-09 225 727 1035 218

9-Apr 957 -52452980511 -24793 785 Apr-09 246 689 1010 235

9-May 559 -175764056892 24393 525 May-09 260 568 1034 247

9-Jun 02 26344903362 -3873 018 Jun-09 260 583 994 248

9-Jul 756 29911557926 15775 638 Jul-09 280 600 1010 264

9-Aug 361 66647387555 02737 292 Aug-09 290 640 1013 271

9-Sep 373 19908108013 31657 353 Sep-09 301 653 1045 281

9-Oct -186 -1135758063 -18836 -156 Oct-09 295 646 1025 276

9-Nov 6 429598654 65618 406 Nov-09 313 673 1092 288

9-Dec 193 -3538041182 -30108 161 Dec-09 319 649 1060 292

10-Jan -36 -22840646395 -587 -256 Jan-10 308 635 997 285

10-Feb 31 13842186803 10589 206 Feb-10 317 643 1008 291

10-Mar 603 38205356429 32922 477 Mar-10 336 668 1041 304

10-Apr 158 14253968325 03791 14 Apr-10 342 678 1045 309

10-May -799 -05569215148 17471 -621 May-10 314 674 1063 290

10-Jun -523 -23229482293 07896 -318 Jun-10 298 658 1072 280

10-Jul 701 -52850060701 -35575 569 Jul-10 319 623 1034 296

10-Aug -451 76993453056 43121 -284 Aug-10 305 671 1078 288

10-Sep 892 05035470246 12552 702 Sep-10 332 675 1092 308

10-Oct 38 35726262618 52271 293 Oct-10 344 699 1149 317

10-Nov 001 -46572458071 -67101 -044 Nov-10 344 666 1072 316

10-Dec 668 71205616987 60114 502 Dec-10 367 714 1136 332

11-Jan 237 14260916813 02413 151 Jan-11 376 724 1139 337

11-Feb 343 -08196213636 14822 271 Feb-11 389 718 1156 346

11-Mar 004 -25144800567 -53504 026 Mar-11 389 700 1094 347

11-Apr 296 51621261523 44419 292 Apr-11 401 736 1142 357

11-May -113 -18535770592 -51957 -088 May-11 396 722 1083 354

11-Jun -167 08676483656 -46402 -14 Jun-11 389 729 1033 349

11-Jul -203 93387304437 48149 -126 Jul-11 382 797 1083 344

11-Aug -543 3189583693 00543 -469 Aug-11 361 822 1083 328

11-Sep -703 -41599527992 34989 -619 Sep-11 335 788 1121 308

11-Oct 1093 -13852548076 -6243 834 Oct-11 372 777 1051 333

11-Nov -022 39284953285 -00578 -096 Nov-11 371 808 1050 330

11-Dec 102 01889893545 02082 061 Dec-11 375 809 1053 332

12-Jan 448 -01521632453 -04526 426 Jan-12 392 808 1048 346

12-Feb 432 -22430032837 14221 342 Feb-12 409 790 1063 358

12-Mar 329 -12258940456 -21399 158 Mar-12 422 780 1040 364

12-Apr -063 13756177692 -18216 -038 Apr-12 420 791 1021 363

12-May -601 43616823461 38067 -528 May-12 394 825 1060 343

12-Jun 412 -61107318666 -83896 324 Jun-12 411 775 971 355

12-Jul 139 -2662867044 20145 115 Jul-12 416 754 991 359

12-Aug 225 -29540623033 -22929 186 Aug-12 426 732 968 365

12-Sep 258 -47724948882 -20234 22 Sep-12 437 697 948 373

12-Oct -185 -18050840884 -36659 -098 Oct-12 429 684 914 370

12-Nov 058 -03984415062 -0944 079 Nov-12 431 682 905 373

12-Dec 091 -17220762656 24366 124 Dec-12 435 670 927 377

13-Jan 518 -04335912154 32593 387 Jan-13 458 667 957 392

13-Feb 136 -29598734504 01523 08 Feb-13 464 647 959 395

13-Mar 375 -04786782014 2166 255 Mar-13 481 644 979 405

13-Apr 193 11854540053 29259 181 Apr-13 490 652 1008 412

13-May 234 -43222576245 -06784 082 May-13 502 624 1001 416

13-Jun -134 06875789801 10553 -177 Jun-13 495 628 1012 408

13-Jul 509 06412005306 -19554 423 Jul-13 520 632 992 426

13-Aug -29 11512128942 -11474 -214 Aug-13 505 639 981 417

13-Sep 314 -19925877399 -05148 361 Sep-13 521 626 976 432

13-Oct 46 -07538953205 -06933 349 Oct-13 545 622 969 447

13-Nov 305 27584740935 46402 189 Nov-13 562 639 1014 455

13-Dec 253 19377872096 15067 18 Dec-13 576 651 1029 463

14-Jan -346 -08961192857 -51141 -251 Jan-14 556 645 976 452

14-Feb 457 -00139276726 -05865 399 Feb-14 581 645 971 470

14-Mar 084 -34260446582 -18865 037 Mar-14 586 623 952 471

14-Apr 074 22210329784 03199 043 Apr-14 591 637 955 473

14-May 235 -07288421342 07134 197 May-14 605 632 962 483

14-Jun 207 05841054246 00135 195 Jun-14 617 636 962 492

14-Jul -138 -00888949644 03097 -153 Jul-14 609 636 965 485

14-Aug 4 18791535569 48657 313 Aug-14 633 648 1012 500

14-Sep -14 69028951277 63915 -221 Sep-14 624 692 1077 489

14-Oct 244 21563513841 15927 194 Oct-14 639 707 1094 498




15-Feb 575 -50846010492 -16603 45 Feb-15 672 817 1387 520

15-Mar -158 65245129876 57568 -083 Mar-15 661 870 1467 516

15-Apr 096 -88441663253 -51219 09 Apr-15 667 793 1392 520

15-May 129 40875447394 08884 073 May-15 676 825 1404 524

15-Jun -194 -66047202646 -62159 -171 Jun-15 663 771 1317 515

15-Jul 21 80060563143 34205 126 Jul-15 677 833 1362 522

15-Aug -603 -10026780942 -24342 -522 Aug-15 636 824 1329 494

15-Sep -247 36089130828 34355 -247 Sep-15 620 854 1374 482

15-Oct 844 -16993598229 -58073 637 Oct-15 673 839 1294 513

15-Nov 03 48441920313 30487 01 Nov-15 675 880 1334 513

15-Dec -158 11998205926 -10345 -173 Dec-15 664 891 1320 504

16-Jan -496 31480723033 48626 -453 Jan-16 631 919 1384 482

16-Feb -013 33572073647 44379 -002 Feb-16 630 950 1446 481

16-Mar 678 -61786855584 -39621 601 Mar-16 673 891 1388 510

16-Apr 039 -31282642584 09914 082 Apr-16 676 863 1402 515

16-May 18 -08911812015 -5253 107 May-16 688 855 1328 520

16-Jun 026 65324823204 94059 03 Jun-16 690 911 1453 522

16-Jul 369 21567955023 02767 348 Jul-16 715 931 1457 540

16-Aug 014 -15149 -44038 024 Aug-16 716 917 1393 541

16-Sep 002 10335 0967 025 Sep-16 716 926 1407 542

-41363


skew -04 02 01 -08

Kurt 198 469 -028 186


	MLM Index 3X		Credit Suisse Index 15x		7030 Portfolio		MLM Index 3X	Credit Suisse Index 15 Vol	7030 Portfolio

1995		0219		0228		0265	1995	0219	0313	0265

1996		0311		0264		0146	1996	0311	0364	0146

1997		0154		014		0219	1997	0154	0175	0219

1998		0406		0209		0197	1998	0406	0269	0197

1999		007		0066		0182	1999	007	0053	0182

2000		0211		0087		-0056	2000	0211	0097	-0056

2001		0004		007		-0088	2001	0004	008	-0088

2002		0151		0112		-0138	2002	0151	0133	-0138

2003		0226		0213		0247	2003	0226	0317	0247

2004		0146		0042		0114	2004	0146	005	0114

2005		005		0063		0069	2005	005	0074	0069

2006		-008		0188		0151	2006	-008	025	0151

2007		-0009		0095		0075	2007	-0009	0112	0075

2008		0379		023		-0307	2008	0379	0344	-0307

2009		-0097		0009		0239	2009	-0097	0012	0239

2010		0099		005		0135	2010	0099	0072	0135

2011		0134		-0048		0002	2011	0134	-0073	0002

2012		-0172		-008		0135	2012	-0172	-0119	0135

2013		-0028		0075		0228	2013	-0028	011	0228

2014		0253		0158		0091	2014	0253	0231	0091

2015		0091		0036		-0002	2015	0091	0042	-0002

Return		110		101		80	Return	110	131	80

StDev		153		93		146	StDev	153	134	146

Corr to 7030		-023		005		100	Corr to 7030	-023	004	100


1 Year Correlation						3 Year Correlation

	SampP 500		7030		MLM				SampP 500		7030		MLM

7030 Portfolio		099					7030 Portfolio		099

MLM Index 3X		-054		-056				MLM Index 3X		-023		-026

Credit Suisse Index		-059		-055		080			Credit Suisse Index		-021		-020	082


5 Year Correlation						10 Year Correlation

	SampP 500		7030		MLM				SampP 500		7030		MLM

7030 Portfolio		099					7030 Portfolio		099

MLM Index 3X		-031		-033				MLM Index 3X		-036		-036

Credit Suisse Index		-027		-027		076			Credit Suisse Index		-021		-021	066

20 Year Correlation

	SampP 500		7030		MLM

7030 Portfolio		098

MLM Index 3X		-027		-026

Credit Suisse Index		-018		-016		066

	Correlation to date									Correlation to date

	SampP 500 Index		7030 Portfolio		MLM Index 3X		Credit Suisse MF Index 15 Vol						SampP 500 Index	7030 Portfolio	MLM Index 3X	Credit Suisse MF Index 15 Vol

	5		5		5		5						5	5	5	5

SampP 500 Index		1		099		-054		-059					SampP 500 Index	1	099	-023	-021

7030 Portfolio		099		1		-056		-055					7030 Portfolio	099	1	-026	-02

MLM Index 3X		-054		-056		1		08					MLM Index 3X	-023	-026	1	082

Credit Suisse MF Index 15 Vol		-059		-055		08		1					Credit Suisse MF Index 15 Vol	-021	-02	082	1

	Correlation to date									Correlation to date

	SampP 500 Index		7030 Portfolio		MLM Index 3X		Credit Suisse MF Index 15 Vol						SampP 500 Index	7030 Portfolio	MLM Index 3X	Credit Suisse MF Index 15 Vol

	5		5		5		5						10 Years	10 Years	10 Years	10 Years

SampP 500 Index		1		099		-031		-027					SampP 500 Index	1	099	-036	-021

7030 Portfolio		099		1		-033		-027					7030 Portfolio	099	1	-036	-021

MLM Index 3X		-031		-033		1		076					MLM Index 3X	-036	-036	1	066

Credit Suisse MF Index 15 Vol		-027		-027		076		1					Credit Suisse MF Index 15 Vol	-021	-021	066	1

		Correlation to date

		SampP 500 Index		7030 Portfolio		MLM Index 3X		Credit Suisse MF Index 15 Vol

		5		5		5		5

	SampP 500 Index		1		098		-027		-018

	7030 Portfolio		098		1		-026		-016

	MLM Index 3X		-027		-026		1		066

	Credit Suisse MF Index 15 Vol		-018		-016		066		1

	MLM 3x				Credit Suisse 15 Vol				7030				SampP 500

	Annlzd Ret		Annlzd Risk		Sharpe Ratio		Annlzd Ret		Annlzd Risk		Sharpe Ratio		Annlzd Ret		Annlzd Risk		Sharpe Ratio		Annlzd Ret		Annlzd Risk		Sharpe Ratio

Periods Ending 9302016

1 Year		85		124		07		24		162		01		125		105		12		154		125		12

3 Years		139		145		10		130		156		08		79		90		09		112		108		10

5 Years		33		129		03		46		138		03		120		92		13		164		111		15						SampP 500 Index				7030 Portfolio				MLM Index 3X				Credit Suisse MF Index 15 Vol

10 Years		58		163		03		79		144		05		62		124		04		72		153		04						Annualized Return to date		Annualized StdDev to date		MPT Statistics to date		Annualized Return to date		Annualized StdDev to date		MPT Statistics to date		Annualized Return to date		Annualized StdDev to date		MPT Statistics to date	Annualized Return to date	Annualized StdDev to date	MPT Statistics to date

20 Years		98		141		05		117		147		06		71		121		04		79		154		04						Total		Total		Sharpe Ratio(g)		Total		Total		Sharpe Ratio(g)		Total		Total		Sharpe Ratio(g)	Total	Total	Sharpe Ratio(g)

																1 Year		1543		1246		122		1252		1052		116		846		1244		066		24		162		01

Statistical Measures																	3 Years		1116		1083		102		792		897		087		1392		1446		095		130		156		08

Largest Drawdown - period		Mar-09 - May-09				Mar-11 - Nov-12				Nov-07 - Feb-09				Nov-07 - Feb-09							5 Years		1637		1112		146		12		915		13		329		1288		025		46		138		03

Largest Drawdown -		-2509				-277				-4216					-5095						10 Years		724		1525		041		621		1239		043		58		1627		03		79		144		05

Largest Drawdown - of months		3				21				16					16						20 Years		791		1535		036		711		1212		039		977		1408		053		117		147		06

Recovery Period		Jun-09 - Jul-11				Dec-12 - Nov-14				Mar-09 - Apr-11				Mar-09 - Mar-12

Recovery Duration		26				24				26					37																00237		01617

																										01298		0156

Crisis Period Returns																											00464		01383

LTCMRussian Debt (July 98 - Sept 98)		121				143				-88					-100																00787		01439

Tech Bubble (April 00 - Sept 02)		113				127				-145					-206																01172		01466

Financial Crisis (Oct 07 - Feb 09)		326				277				-309					-388

	MLM				Credit Suisse				7030

	Annlzd Ret		Annlzd Risk		Sharpe Ratio		Annlzd Ret		Annlzd Risk		Sharpe Ratio		Annlzd Ret		Annlzd Risk		Sharpe Ratio

Periods Ending 9302016

1 Year		85		124		07		14		90		01		125		105		12

3 Years		139		145		10		90		103		09		79		90		09

5 Years		33		129		03		35		92		04		120		92		13

10 Years		58		163		03		58		97		05		62		124		04

20 Years		98		141		05		91		100		07		71		121		04


Statistical Measures

Largest Drawdown - period		Mar-09 - May-09				Mar-11 - Nov-12				Nov-07 - Feb-09

Largest Drawdown -		-2509				-1486				-4216

Largest Drawdown - of months		3				21				16

Recovery Period		Jun-09 - Jul-11				Dec-12 - Nov-14				Mar-09 - Apr-11

Recovery Duration		26				24				26


Full - history semi-deviation		83				54				83

Full - history skewness		03				02				-08

Full- history kurtosis		47				-01				15


Crisis Period Returns

LTCMRussian Debt (July 98 - Sept 98)		121				104				-88

Tech Bubble (April 00 - Sept 02)		113				157				-145

Financial Crisis (Oct 07 - Feb 09)		326				183				-309

	SampP 500 Index		MLM Index 3X woInt		Credit Suisse Index		7030 Portfolio

	Return		Return		Return		Return

	Total		Total		Total		Total

Jan-73		-149		NA		NA		NA

Feb-73		-352		NA		NA		NA

Mar-73		009		NA		NA		NA

Apr-73		-384		NA		NA		NA

May-73		-164		NA		NA		NA

Jun-73		-04		NA		NA		NA

Jul-73		406		NA		NA		NA

Aug-73		-342		NA		NA		NA

Sep-73		427		NA		NA		NA

Oct-73		013		NA		NA		NA

Nov-73		-1112		NA		NA		NA

Dec-73		196		NA		NA		NA

Jan-74		-071		NA		NA		NA

Feb-74		-005		NA		NA		NA

Mar-74		-202		NA		NA		NA

Apr-74		-359		NA		NA		NA

May-74		-302		NA		NA		NA

Jun-74		-112		NA		NA		NA

Jul-74		-742		NA		NA		NA

Aug-74		-864		NA		NA		NA

Sep-74		-115		NA		NA		NA

Oct-74		168		NA		NA		NA

Nov-74		-49		NA		NA		NA

Dec-74		-158		NA		NA		NA

Jan-75		1273		NA		NA		NA

Feb-75		639		NA		NA		NA

Mar-75		255		NA		NA		NA

Apr-75		509		NA		NA		NA

May-75		476		NA		NA		NA

Jun-75		477		NA		NA		NA

Jul-75		-644		NA		NA		NA

Aug-75		-176		NA		NA		NA

Sep-75		-311		NA		NA		NA

Oct-75		654		NA		NA		NA

Nov-75		281		NA		NA		NA

Dec-75		-082		NA		NA		NA

Jan-76		1217		NA		NA		NA

Feb-76		-084		NA		NA		NA

Mar-76		338		NA		NA		NA

Apr-76		-08		NA		NA		NA

May-76		-112		NA		NA		NA

Jun-76		441		NA		NA		NA

Jul-76		-05		NA		NA		NA

Aug-76		-02		NA		NA		NA

Sep-76		258		NA		NA		NA

Oct-76		-191		NA		NA		NA

Nov-76		-045		NA		NA		NA

Dec-76		558		NA		NA		NA

Jan-77		-473		NA		NA		NA

Feb-77		-182		NA		NA		NA

Mar-77		-104		NA		NA		NA

Apr-77		038		NA		NA		NA

May-77		-198		NA		NA		NA

Jun-77		493		NA		NA		NA

Jul-77		-124		NA		NA		NA

Aug-77		-172		NA		NA		NA

Sep-77		015		NA		NA		NA

Oct-77		-394		NA		NA		NA

Nov-77		312		NA		NA		NA

Dec-77		071		NA		NA		NA

Jan-78		-573		NA		NA		NA

Feb-78		-202		NA		NA		NA

Mar-78		297		NA		NA		NA

Apr-78		901		NA		NA		NA

May-78		086		NA		NA		NA

Jun-78		-132		NA		NA		NA

Jul-78		584		NA		NA		NA

Aug-78		302		NA		NA		NA

Sep-78		-031		NA		NA		NA

Oct-78		-874		NA		NA		NA

Nov-78		213		NA		NA		NA

Dec-78		194		NA		NA		NA

Jan-79		443		NA		NA		NA

Feb-79		-321		NA		NA		NA

Mar-79		598		NA		NA		NA

Apr-79		061		NA		NA		NA

May-79		-218		NA		NA		NA

Jun-79		434		NA		NA		NA

Jul-79		133		NA		NA		NA

Aug-79		576		NA		NA		NA

Sep-79		044		NA		NA		NA

Oct-79		-639		NA		NA		NA

Nov-79		472		NA		NA		NA

Dec-79		22		NA		NA		NA

Jan-80		621		NA		NA		NA

Feb-80		-001		NA		NA		NA

Mar-80		-975		NA		NA		NA

Apr-80		462		NA		NA		NA

May-80		515		NA		NA		NA

Jun-80		316		NA		NA		NA

Jul-80		696		NA		NA		NA

Aug-80		101		NA		NA		NA

Sep-80		294		NA		NA		NA

Oct-80		202		NA		NA		NA

Nov-80		1065		NA		NA		NA

Dec-80		-301		NA		NA		NA

Jan-81		-42		NA		NA		NA

Feb-81		172		NA		NA		NA

Mar-81		399		NA		NA		NA

Apr-81		-194		NA		NA		NA

May-81		025		NA		NA		NA

Jun-81		-062		NA		NA		NA

Jul-81		021		NA		NA		NA

Aug-81		-578		NA		NA		NA

Sep-81		-492		NA		NA		NA

Oct-81		54		NA		NA		NA

Nov-81		412		NA		NA		NA

Dec-81		-256		NA		NA		NA

Jan-82		-13		NA		NA		NA

Feb-82		-559		NA		NA		NA

Mar-82		-052		NA		NA		NA

Apr-82		452		NA		NA		NA

May-82		-341		NA		NA		NA

Jun-82		-15		NA		NA		NA

Jul-82		-177		NA		NA		NA

Aug-82		1214		NA		NA		NA

Sep-82		124		NA		NA		NA

Oct-82		1151		NA		NA		NA

Nov-82		404		NA		NA		NA

Dec-82		193		NA		NA		NA

Jan-83		372		NA		NA		NA

Feb-83		229		NA		NA		NA

Mar-83		369		NA		NA		NA

Apr-83		788		NA		NA		NA

May-83		-087		NA		NA		NA

Jun-83		389		NA		NA		NA

Jul-83		-295		NA		NA		NA

Aug-83		15		NA		NA		NA

Sep-83		138		NA		NA		NA

Oct-83		-116		NA		NA		NA

Nov-83		211		NA		NA		NA

Dec-83		-052		NA		NA		NA

Jan-84		-056		NA		NA		NA

Feb-84		-352		NA		NA		NA

Mar-84		173		NA		NA		NA

Apr-84		092		NA		NA		NA

May-84		-556		NA		NA		NA

Jun-84		214		NA		NA		NA

Jul-84		-124		NA		NA		NA

Aug-84		1104		NA		NA		NA

Sep-84		002		NA		NA		NA

Oct-84		038		NA		NA		NA

Nov-84		-112		NA		NA		NA

Dec-84		264		NA		NA		NA

Jan-85		779		NA		NA		NA

Feb-85		123		NA		NA		NA

Mar-85		006		NA		NA		NA

Apr-85		-009		NA		NA		NA

May-85		578		NA		NA		NA

Jun-85		157		NA		NA		NA

Jul-85		-014		NA		NA		NA

Aug-85		-086		NA		NA		NA

Sep-85		-313		NA		NA		NA

Oct-85		462		NA		NA		NA

Nov-85		686		NA		NA		NA

Dec-85		484		NA		NA		NA

Jan-86		056		NA		NA		NA

Feb-86		747		NA		NA		NA

Mar-86		558		NA		NA		NA

Apr-86		-113		NA		NA		NA

May-86		532		NA		NA		NA

Jun-86		169		NA		NA		NA

Jul-86		-559		NA		NA		NA

Aug-86		741		NA		NA		NA

Sep-86		-827		NA		NA		NA

Oct-86		577		NA		NA		NA

Nov-86		243		NA		NA		NA

Dec-86		-255		NA		NA		NA

Jan-87		1347		NA		NA		NA

Feb-87		395		NA		NA		NA

Mar-87		289		NA		NA		NA

Apr-87		-089		NA		NA		NA

May-87		087		NA		NA		NA

Jun-87		505		NA		NA		NA

Jul-87		507		NA		NA		NA

Aug-87		373		NA		NA		NA

Sep-87		-219		NA		NA		NA

Oct-87		-2153		NA		NA		NA

Nov-87		-824		NA		NA		NA

Dec-87		761		NA		NA		NA

Jan-88		421		NA		NA		349

Feb-88		466		NA		NA		436

Mar-88		-309		NA		NA		036

Apr-88		11		NA		NA		066

May-88		086		NA		NA		-09

Jun-88		458		NA		NA		252

Jul-88		-038		NA		NA		02

Aug-88		-34		NA		NA		-286

Sep-88		425		NA		NA		359

Oct-88		282		NA		NA		344

Nov-88		-143		NA		NA		034

Dec-88		174		NA		NA		116

Jan-89		731		NA		NA		398

Feb-89		-248		NA		NA		-089

Mar-89		232		NA		NA		07

Apr-89		52		NA		NA		323

May-89		405		NA		NA		14

Jun-89		-057		NA		NA		004

Jul-89		903		NA		NA		742

Aug-89		195		NA		NA		-04

Sep-89		-041		NA		NA		113

Oct-89		-232		NA		NA		-171

Nov-89		204		NA		NA		23

Dec-89		24		NA		NA		194

Jan-90		-671		NA		NA		-478

Feb-90		13		NA		NA		-08

Mar-90		264		NA		NA		-117

Apr-90		-249		NA		NA		-177

May-90		975		NA		NA		786

Jun-90		-067		NA		NA		-001

Jul-90		-032		NA		NA		019

Aug-90		-904		NA		NA		-722

Sep-90		-487		NA		NA		-53

Oct-90		-043		NA		NA		295

Nov-90		646		NA		NA		26

Dec-90		279		NA		NA		235

Jan-91		435		NA		NA		348

Feb-91		715		NA		NA		62

Mar-91		242		NA		NA		049

Apr-91		024		NA		NA		058

May-91		431		NA		NA		257

Jun-91		-458		NA		NA		-379

Jul-91		466		NA		NA		377

Aug-91		237		NA		NA		166

Sep-91		-167		NA		NA		095

Oct-91		134		NA		NA		152

Nov-91		-403		NA		NA		-26

Dec-91		1144		NA		NA		76

Jan-92		-186		-50186134107		NA		-101

Feb-92		13		-11806985257		NA		03

Mar-92		-194		-34682100213		NA		-245

Apr-92		294		04856690806		NA		135

May-92		049		36691977834		NA		196

Jun-92		-149		3995994645		NA		-144

Jul-92		409		58382478439		NA		241

Aug-92		-205		21392596519		NA		003

Sep-92		118		-10417441781		NA		069

Oct-92		035		-11426309261		NA		-063

Nov-92		34		-24243841368		NA		231

Dec-92		123		03309287484		NA		157

Jan-93		084		12125566229		NA		109

Feb-93		136		59842293696		NA		136

Mar-93		211		-06484088187		NA		282

Apr-93		-242		09183032136		NA		027

May-93		268		-00124707027		NA		196

Jun-93		029		75565231659		NA		064

Jul-93		-04		34694235802		NA		068

Aug-93		379		26998187389		NA		356

Sep-93		-077		-35544940483		NA		-032

Oct-93		207		12906000348		NA		154

Nov-93		-095		39231376084		NA		-251

Dec-93		121		23140907663		NA		262

Jan-94		34		-16392143954		NA		357

Feb-94		-271		-5375365439		NA		-19

Mar-94		-436		-17526970615		NA		-389

Apr-94		128		-31042584129		NA		106

May-94		164		21687630069		NA		058

Jun-94		-245		-02802505425		NA		-136

Jul-94		328		-09170406074		NA		249

Aug-94		41		03148132864		NA		3

Sep-94		-245		49091708791		NA		-203

Oct-94		225		33710507687		NA		14

Nov-94		-364		-02736669026		NA		-3			SampP 500 Index		MLM Index 3X		Credit Suisse Index 15 Vol		7030 Portfolio

Dec-94		148		11635880505		NA		095		Dec-94		100		100		100		100

Jan-95		259		1488846469		18462		078		Jan-95		103		101		102		101

Feb-95		39		18245801927		-04746		274		Feb-95		107		103		101		104

Mar-95		295		37741988604		70854		257		Mar-95		110		107		109		106

Apr-95		294		20196669281		31179		254		Apr-95		113		109		112		109

May-95		4		4438151788		78944		291		May-95		117		114		121		112

Jun-95		232		15287989065		-04753		152		Jun-95		120		116		120		114

Jul-95		332		-14769041128		-2252		32		Jul-95		124		114		117		117

Aug-95		025		-36439459991		-31269		016		Aug-95		125		110		114		118

Sep-95		422		05926567612		39491		274		Sep-95		130		111		118		121

Oct-95		-036		2635846499		25163		-064		Oct-95		129		114		121		120

Nov-95		439		27162162082		33589		332		Nov-95		135		117		125		124

Dec-95		193		4331305919		47021		198		Dec-95		138		122		131		126

Jan-96		34		19634168588		54269		207		Jan-96		142		124		138		129

Feb-96		093		-13857157749		-37777		042		Feb-96		144		123		133		130

Mar-96		096		3570816298		36706		074		Mar-96		145		127		138		131

Apr-96		147		47035792726		48573		151		Apr-96		147		133		145		133

May-96		258		04897246276		-23907		119		May-96		151		134		141		134

Jun-96		038		04231657395		28546		021		Jun-96		151		134		145		134

Jul-96		-442		-32825387444		-5322		-362		Jul-96		145		130		138		130

Aug-96		211		50232432929		29044		183		Aug-96		148		136		142		132

Sep-96		563		54206924649		82056		405		Sep-96		156		144		153		137

Oct-96		276		51159466491		83507		144		Oct-96		160		151		166		139

Nov-96		756		43728165918		864		527		Nov-96		173		158		180		147

Dec-96		-198		14093703517		-07113		-113		Dec-96		169		160		179		145

Jan-97		625		17011191838		-16167		314		Jan-97		180		162		176		150

Feb-97		078		-17477703643		-15622		041		Feb-97		181		160		173		150

Mar-97		-411		-0910181567		12022		-309		Mar-97		174		158		175		145

Apr-97		597		09232176853		15126		349		Apr-97		184		160		178		151

May-97		609		-06805906276		09263		543		May-97		195		159		180		159

Jun-97		448		14017438969		-08095		375		Jun-97		204		161		178		165

Jul-97		796		41579104051		60499		584		Jul-97		220		167		189		174

Aug-97		-56		-24491709033		-58848		-401		Aug-97		208		163		178		167

Sep-97		548		23206853381		65934		476		Sep-97		219		167		190		175

Oct-97		-334		3155194786		26194		-317		Oct-97		212		172		195		170

Nov-97		463		1734137994		34076		24		Nov-97		222		175		201		174

Dec-97		172		50839377232		45191		168		Dec-97		226		184		210		177

Jan-98		111		-0540706989		01984		101		Jan-98		228		183		211		178

Feb-98		721		40902523842		09547		561		Feb-98		245		191		213		189

Mar-98		512		4564059454		36725		385		Mar-98		257		200		221		196

Apr-98		101		10197007162		2729		086		Apr-98		260		202		227		197

May-98		-172		66464318242		49967		-174		May-98		255		215		238		194

Jun-98		406		14535097859		12227		237		Jun-98		266		218		241		199

Jul-98		-106		79600070571		25845		-106	143		Jul-98		263		235		247		197

Aug-98		-1446		85969949752		100188		-1191		Aug-98		225		256		272		173

Sep-98		641		-43471273323		13057		462		Sep-98		239		245		275		181

Oct-98		813		-21914686666		-48215		62		Oct-98		259		239		262		192

Nov-98		606		35427775078		-16838		49		Nov-98		274		248		258		202

Dec-98		576		46223079694		36184		48		Dec-98		290		259		267		211

Jan-99		418		11652083769		-13599		243		Jan-99		302		262		263		217

Feb-99		-311		08705260303		-29127		-306		Feb-99		293		264		256		210

Mar-99		4		-66775958823		-24295		326		Mar-99		305		247		250		217

Apr-99		387		22077437514		51823		383		Apr-99		316		252		263		225

May-99		-236		05593377297		-19638		-207		May-99		309		254		257		220

Jun-99		555		0821055256		43706		406		Jun-99		326		256		269		229

Jul-99		-312		-05417097185		00435		-19		Jul-99		316		254		269		225

Aug-99		-049		12651757883		01021		-075		Aug-99		314		258		269		223

Sep-99		-274		24672781685		05889		-147		Sep-99		306		264		271		220

Oct-99		633		-17330628613		-47866		486		Oct-99		325		259		258		231

Nov-99		203		37710155755		29817		248		Nov-99		332		269		265		236

Dec-99		589		30182108515		60293		568		Dec-99		351		277		281		250

Jan-00		-502		24897212667		-25282		-359		Jan-00		334		284		274		241

Feb-00		-189		-05713037029		10256		122		Feb-00		327		283		277		244

Mar-00		978		-24716293218		-3378		621		Mar-00		359		276		268		259

Apr-00		-301		03990582414		-22613		-331	1573		Apr-00		348		277		262		250

May-00		-205		24192880579		0877		-232		May-00		341		283		264		245

Jun-00		247		0878887186		-34187		3		Jun-00		350		286		255		252

Jul-00		-156		24260079771		12301		-165		Jul-00		344		293		258		248

Aug-00		621		75396102385		45179		559		Aug-00		366		315		270		262

Sep-00		-528		09222855204		04031		-385		Sep-00		346		318		271		252

Oct-00		-042		299852918		44133		-131		Oct-00		345		327		283		248

Nov-00		-788		5315579778		110553		-68		Nov-00		318		345		314		231

Dec-00		049		-25942802121		-17463		193		Dec-00		319		336		308		236

1-Jan		355		-00863561154		-04261		284		Jan-01		331		335		307		243

1-Feb		-912		16209515233		74179		-716		Feb-01		300		341		330		225

1-Mar		-633		48299554873		94097		-52		Mar-01		281		357		361		213

1-Apr		777		-43323517245		-65179		61		Apr-01		303		342		337		227

1-May		067		24991627761		11086		031		May-01		305		350		341		227

1-Jun		-243		-01569851257		00543		-165		Jun-01		298		350		341		223

1-Jul		-098		-21829671963		-05079		-093		Jul-01		295		342		340		221

1-Aug		-626		-26070979092		17884		-404		Aug-01		276		333		346		212

1-Sep		-808		10636654952		60561		-685		Sep-01		254		337		367		198

1-Oct		191		09408124501		22528		233		Oct-01		259		340		375		203

1-Nov		767		-16137664028		-837		519		Nov-01		279		334		344		213

1-Dec		088		07970479005		-2992		094		Dec-01		281		337		333		215

2-Jan		-146		01132698972		-26759		-115		Jan-02		277		338		324		213

2-Feb		-193		-02410246265		-26221		-106		Feb-02		272		337		316		210

2-Mar		376		-64656658879		-37678		312		Mar-02		282		315		304		217

2-Apr		-606		01559405489		-06737		-3		Apr-02		265		315		302		210

2-May		-074		19425675286		49554		-043		May-02		263		322		317		209

2-Jun		-712		46154392532		59609		-498		Jun-02		244		336		336		199

2-Jul		-78		-09755577412		44704		-592		Jul-02		225		333		351		187

2-Aug		066		36669673432		29178		074		Aug-02		227		345		361		189

2-Sep		-1087		42995914132		68228		-728		Sep-02		202		360		386		175

2-Oct		88		-18586716944		-39428		521		Oct-02		220		354		370		184

2-Nov		589		-06691963741		-43217		423		Nov-02		233		351		354		192

2-Dec		-587		10504712371		65168		-333		Dec-02		219		388		377		185

3-Jan		-262		79413180181		78029		-186		Jan-03		213		419		407		182

3-Feb		-15		5839796145		24675		-082		Feb-03		210		443		417		180

3-Mar		097		-4822187841		-49263		039		Mar-03		212		422		396		181

3-Apr		824		08044165566		01717		619		Apr-03		230		425		397		192

3-May		527		86017617168		75621		492		May-03		242		462		427		202

3-Jun		128		-16232843116		-23723		11		Jun-03		245		454		417		204

3-Jul		176		-58470688666		-38819		084		Jul-03		249		428		401		206

3-Aug		195		-01285241001		24459		191		Aug-03		254		427		411		210

3-Sep		-106		62607424571		26964		031		Sep-03		251		454		422		210

3-Oct		566		09634730462		79884		431		Oct-03		266		458		455		219

3-Nov		088		23264834944		02951		12		Nov-03		268		469		457		222

3-Dec		524		14110879536		8856		41		Dec-03		282		476		497		231

4-Jan		184		19478633231		26613		172		Jan-04		287		485		510		235

4-Feb		139		52879779623		57235		144		Feb-04		291		511		540		239

4-Mar		-151		2268957551		-03792		-05		Mar-04		287		522		538		237

4-Apr		-157		-56830338449		-105019		-233		Apr-04		282		493		481		232

4-May		137		-16566072328		-32214		087		May-04		286		484		466		234

4-Jun		194		-17215338796		-23435		168		Jun-04		292		476		455		238

4-Jul		-331		-06069797015		-19673		-258		Jul-04		282		473		446		232

4-Aug		04		-05707405134		-31134		082		Aug-04		283		470		432		234

4-Sep		108		70162697766		75979		145		Sep-04		286		503		465		237

4-Oct		153		34033420009		3203		17		Oct-04		291		521		480		241

4-Nov		405		45583596598		79681		368		Nov-04		302		544		518		250

4-Dec		34		01240939032		07905		307		Dec-04		313		545		522		257

5-Jan		-244		16755564551		-35158		-181		Jan-05		305		554		504		253

5-Feb		21		-20025648058		07235		196		Feb-05		311		543		507		258

5-Mar		-177		-10751895082		-32131		-158		Mar-05		306		537		491		254

5-Apr		-19		-2390258099		-3307		-143		Apr-05		300		524		475		250

5-May		318		08685813036		14103		272		May-05		310		529		481		257

5-Jun		014		2223478206		2443		083		Jun-05		310		541		493		259

5-Jul		372		-21671781188		16173		293		Jul-05		322		529		501		267

5-Aug		-091		49286219575		23044		002		Aug-05		319		555		513		267

5-Sep		081		37034231946		44919		108		Sep-05		321		576		536		270

5-Oct		-167		-41709576663		-50465		-191		Oct-05		316		552		509		264

5-Nov		378		22186228209		731		307		Nov-05		328		564		546		272

5-Dec		003		15087373486		26914		097		Dec-05		328		572		561		275

6-Jan		265		05184116785		49735		32		Jan-06		337		575		588		284

6-Feb		027		-12693666599		-08661		013		Feb-06		338		568		583		284

6-Mar		125		20763323239		66529		136		Mar-06		342		580		622		288

6-Apr		134		-11401031738		110633		149		Apr-06		346		573		691		292

6-May		-288		-38328436628		-15079		-283		May-06		336		551		681		284

6-Jun		014		-17992981531		-41286		014		Jun-06		337		541		652		285

6-Jul		062		-32543371611		-14002		038		Jul-06		339		524		643		286

6-Aug		238		-01076272465		29098		232		Aug-06		347		523		662		292

6-Sep		258		07974403785		-03827		16		Sep-06		356		527		659		297

6-Oct		326		-29512764216		-00218		309		Oct-06		368		512		659		306

6-Nov		19		03172013357		58364		222		Nov-06		375		513		698		313

6-Dec		14		25165243518		03787		117		Dec-06		380		526		700		317

7-Jan		151		-10891073316		07036		127		Jan-07		386		520		705		321

7-Feb		-196		-0242828355		-13437		-066		Feb-07		378		519		696		318

7-Mar		112		-24787732727		-10187		115		Mar-07		382		506		689		322

7-Apr		443		02879881174		68079		345		Apr-07		399		508		736		333

7-May		349		04724656451		33768		267		May-07		413		510		761		342

7-Jun		-166		06726351642		29473		-111		Jun-07		406		514		783		338

7-Jul		-31		-10308231752		-62002		-209		Jul-07		394		508		734		331

7-Aug		15		-48378452877		-4152		085		Aug-07		400		484		704		334

7-Sep		374		50760632525		70341		364		Sep-07		415		508		753		346

7-Oct		159		36478459472		64209		235	2672		Oct-07		421		527		802		354

7-Nov		-418		-09519733939		-29049		-338		Nov-07		404		522		779		342

7-Dec		-069		-00407441673		00631		-06		Dec-07		401		522		779		340

8-Jan		-6		38885050267		87377		-527		Jan-08		377		542		847		322

8-Feb		-325		79938792923		97517		-138		Feb-08		364		585		930		318

8-Mar		-043		-01164410281		-17484		-069		Mar-08		363		585		913		316

8-Apr		487		-11768609649		-73215		412		Apr-08		381		578		847		329

8-May		13		26727320318		02045		143		May-08		385		593		848		334

8-Jun		-843		38796643349		38908		-664		Jun-08		353		616		881		311

8-Jul		-084		-111000927524		-63133		-116		Jul-08		350		548		826		308

8-Aug		145		-81389596386		09693		032		Aug-08		355		503		834		309

8-Sep		-891		2350077992		4926		-863		Sep-08		323		515		875		282

8-Oct		-1679		231353875038		118043		-1488		Oct-08		269		634		978		240

8-Nov		-718		91409930423		52566		-464		Nov-08		250		692		1029		229

8-Dec		106		39012647249		17001		298		Dec-08		252		719		1047		236

9-Jan		-843		36085657209		-01782		-629		Jan-09		231		745		1045		221

9-Feb		-1065		17480110926		0841		-723		Feb-09		207		758		1054		205

9-Mar		876		-40891209192		-17399		626		Mar-09		225		727		1035		218

9-Apr		957		-52452980511		-24793		785		Apr-09		246		689		1010		235

9-May		559		-175764056892		24393		525		May-09		260		568		1034		247

9-Jun		02		26344903362		-3873		018		Jun-09		260		583		994		248

9-Jul		756		29911557926		15775		638		Jul-09		280		600		1010		264

9-Aug		361		66647387555		02737		292		Aug-09		290		640		1013		271

9-Sep		373		19908108013		31657		353		Sep-09		301		653		1045		281

9-Oct		-186		-1135758063		-18836		-156		Oct-09		295		646		1025		276

9-Nov		6		429598654		65618		406		Nov-09		313		673		1092		288

9-Dec		193		-3538041182		-30108		161		Dec-09		319		649		1060		292

10-Jan		-36		-22840646395		-587		-256		Jan-10		308		635		997		285

10-Feb		31		13842186803		10589		206		Feb-10		317		643		1008		291

10-Mar		603		38205356429		32922		477		Mar-10		336		668		1041		304

10-Apr		158		14253968325		03791		14		Apr-10		342		678		1045		309

10-May		-799		-05569215148		17471		-621		May-10		314		674		1063		290

10-Jun		-523		-23229482293		07896		-318		Jun-10		298		658		1072		280

10-Jul		701		-52850060701		-35575		569		Jul-10		319		623		1034		296

10-Aug		-451		76993453056		43121		-284		Aug-10		305		671		1078		288

10-Sep		892		05035470246		12552		702		Sep-10		332		675		1092		308

10-Oct		38		35726262618		52271		293		Oct-10		344		699		1149		317

10-Nov		001		-46572458071		-67101		-044		Nov-10		344		666		1072		316

10-Dec		668		71205616987		60114		502		Dec-10		367		714		1136		332

11-Jan		237		14260916813		02413		151		Jan-11		376		724		1139		337

11-Feb		343		-08196213636		14822		271		Feb-11		389		718		1156		346

11-Mar		004		-25144800567		-53504		026		Mar-11		389		700		1094		347

11-Apr		296		51621261523		44419		292		Apr-11		401		736		1142		357

11-May		-113		-18535770592		-51957		-088		May-11		396		722		1083		354

11-Jun		-167		08676483656		-46402		-14		Jun-11		389		729		1033		349

11-Jul		-203		93387304437		48149		-126		Jul-11		382		797		1083		344

11-Aug		-543		3189583693		00543		-469		Aug-11		361		822		1083		328

11-Sep		-703		-41599527992		34989		-619		Sep-11		335		788		1121		308

11-Oct		1093		-13852548076		-6243		834		Oct-11		372		777		1051		333

11-Nov		-022		39284953285		-00578		-096		Nov-11		371		808		1050		330

11-Dec		102		01889893545		02082		061		Dec-11		375		809		1053		332

12-Jan		448		-01521632453		-04526		426		Jan-12		392		808		1048		346

12-Feb		432		-22430032837		14221		342		Feb-12		409		790		1063		358

12-Mar		329		-12258940456		-21399		158		Mar-12		422		780		1040		364

12-Apr		-063		13756177692		-18216		-038		Apr-12		420		791		1021		363

12-May		-601		43616823461		38067		-528		May-12		394		825		1060		343

12-Jun		412		-61107318666		-83896		324		Jun-12		411		775		971		355

12-Jul		139		-2662867044		20145		115		Jul-12		416		754		991		359

12-Aug		225		-29540623033		-22929		186		Aug-12		426		732		968		365

12-Sep		258		-47724948882		-20234		22		Sep-12		437		697		948		373

12-Oct		-185		-18050840884		-36659		-098		Oct-12		429		684		914		370

12-Nov		058		-03984415062		-0944		079		Nov-12		431		682		905		373

12-Dec		091		-17220762656		24366		124		Dec-12		435		670		927		377

13-Jan		518		-04335912154		32593		387		Jan-13		458		667		957		392

13-Feb		136		-29598734504		01523		08		Feb-13		464		647		959		395

13-Mar		375		-04786782014		2166		255		Mar-13		481		644		979		405

13-Apr		193		11854540053		29259		181		Apr-13		490		652		1008		412

13-May		234		-43222576245		-06784		082		May-13		502		624		1001		416

13-Jun		-134		06875789801		10553		-177		Jun-13		495		628		1012		408

13-Jul		509		06412005306		-19554		423		Jul-13		520		632		992		426

13-Aug		-29		11512128942		-11474		-214		Aug-13		505		639		981		417

13-Sep		314		-19925877399		-05148		361		Sep-13		521		626		976		432

13-Oct		46		-07538953205		-06933		349		Oct-13		545		622		969		447

13-Nov		305		27584740935		46402		189		Nov-13		562		639		1014		455

13-Dec		253		19377872096		15067		18		Dec-13		576		651		1029		463

14-Jan		-346		-08961192857		-51141		-251		Jan-14		556		645		976		452

14-Feb		457		-00139276726		-05865		399		Feb-14		581		645		971		470

14-Mar		084		-34260446582		-18865		037		Mar-14		586		623		952		471

14-Apr		074		22210329784		03199		043		Apr-14		591		637		955		473

14-May		235		-07288421342		07134		197		May-14		605		632		962		483

14-Jun		207		05841054246		00135		195		Jun-14		617		636		962		492

14-Jul		-138		-00888949644		03097		-153		Jul-14		609		636		965		485

14-Aug		4		18791535569		48657		313		Aug-14		633		648		1012		500

14-Sep		-14		69028951277		63915		-221		Sep-14		624		692		1077		489

14-Oct		244		21563513841		15927		194		Oct-14		639		707		1094		498

14-Nov		269		72204527611		104647		19		Nov-14		657		758		1209		508		LTCMRussian Debt (July 98 - Sept 98)

14-Dec		-025		76468641712		47745		-044		Dec-14		655		816		1266		506		Tech Bubble (April 00 - Sept 02)

15-Jan		-3		54094515689		113573		-159		Jan-15		635		860		1410		497		Financial Crisis (Oct 07 - Feb 09)

15-Feb		575		-50846010492		-16603		45		Feb-15		672		817		1387		520

15-Mar		-158		65245129876		57568		-083		Mar-15		661		870		1467		516

15-Apr		096		-88441663253		-51219		09		Apr-15		667		793		1392		520

15-May		129		40875447394		08884		073		May-15		676		825		1404		524

15-Jun		-194		-66047202646		-62159		-171		Jun-15		663		771		1317		515

15-Jul		21		80060563143		34205		126		Jul-15		677		833		1362		522

15-Aug		-603		-10026780942		-24342		-522		Aug-15		636		824		1329		494

15-Sep		-247		36089130828		34355		-247		Sep-15		620		854		1374		482

15-Oct		844		-16993598229		-58073		637		Oct-15		673		839		1294		513

15-Nov		03		48441920313		30487		01		Nov-15		675		880		1334		513

15-Dec		-158		11998205926		-10345		-173		Dec-15		664		891		1320		504

16-Jan		-496		31480723033		48626		-453		Jan-16		631		919		1384		482

16-Feb		-013		33572073647		44379		-002		Feb-16		630		950		1446		481

16-Mar		678		-61786855584		-39621		601		Mar-16		673		891		1388		510

16-Apr		039		-31282642584		09914		082		Apr-16		676		863		1402		515

16-May		18		-08911812015		-5253		107		May-16		688		855		1328		520

16-Jun		026		65324823204		94059		03		Jun-16		690		911		1453		522

16-Jul		369		21567955023		02767		348		Jul-16		715		931		1457		540

16-Aug		014		-15149		-44038		024		Aug-16		716		917		1393		541

16-Sep		002		10335		0967		025		Sep-16		716		926		1407		542

			-41363

Correllation		100		-022		-015		097



skew		-04		02		01		-08

Kurt		198		469		-028		186

CRISIS RISK OFFSETSM CLASS MANAGEMENT & THE …

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